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On Bootstrapping Tests of Equal Forecast Accuracy for Nested Models

Doko Tchatoka, Firmin; Haque, Qazi - 2020

bootstrap method consisting of a block moving bootstrap (which is nonparametric) and a residual based bootstrap for both … statistics, and establish its validity. Simulations show that our hybrid bootstrap has good finite-sample performance, even in … multi-step ahead forecasts with heteroscedastic or autocorrelated errors, and more than one predictor. The bootstrap method …

Persistent link: https://www.econbiz.de/10014101174

A Sound Modelling and Backtesting Framework for Forecasting Initial Margin Requirements

Anfuso, Fabrizio - 2017

The introduction by regulators of mandatory margining for bilateral OTCs is going to have a major impact on the derivatives market, particularly in light of the additional funding costs and liquidity requirements that large financial institutions will face. Fabrizio Anfuso, Daniel Aziz, Paul...

Persistent link: https://www.econbiz.de/10012970284

Backtesting Distributional Forecasts in Counterparty Risk II : Empirical Results for Long Horizon Testing

Farag, Hany - 2017

This paper provides empirical results supporting the theoretical ones by the first author on backtesting long-horizon distributional forecasts. The problem is quite general but for us it is motivated by the regulatory requirement of backtesting evolution models used in the measurement of...

Persistent link: https://www.econbiz.de/10012955514

Performance of Alternative Price Forecast for Pakistan

Javed, Yasser - 2015

To evaluate the price forecasts, we use two data frequencies i.e., annual and quarter with two most demanding techniques, i.e., ARIMA and VAR models to forecast the four index of inflation, named, Consumer Price Index (CPI), Wholesale Price Index (WPI), GNP Price Deflator (GNPPD), and Implicit...

Persistent link: https://www.econbiz.de/10013020243

CVA-VaR

Alavian, Shahram - 2012

Usage of Monte Carlo simulation for pricing requires a well defined and accurate market implied distribution of risk factors. Overlay, on top of these simulated risk factors, one can also generate conditional prices based on the set of underlying risk factors at future time horizons. The ability...

Persistent link: https://www.econbiz.de/10013114643

Differencing Transformations and Robust Inference in Predictive Regression Models

Camponovo, Lorenzo - 2014

The limit distribution of conventional test statistics for predictability may depend on the degree of persistence of the predictors. Therefore, diverging results and conclusions may arise because of the different asymptotic theories adopted. Using differencing transformations, we introduce a new...

Persistent link: https://www.econbiz.de/10013065962

Large Dimension Forecasting Models and Random Singular Value Spectra

Bouchaud, Jean-Philippe - 2013

We present a general method to detect and extract from a finite time sample statistically meaningful correlations between input and output variables of large dimensionality. Our central result is derived from the theory of free random matrices, and gives an explicit expression for the interval...

Persistent link: https://www.econbiz.de/10013075383

Non-parametric stochastic simulations to investigate uncertainty around the OECD indicator model forecasts

Rusticelli, Elena - 2012

The forecasting uncertainty around point macroeconomic forecasts is usually measured by the historical performance of the forecasting model, using measures such as root mean squared forecasting errors (RMSE). This measure, however, has the major drawback that it is constant over time and hence...

Persistent link: https://www.econbiz.de/10009690936

Exchange rates expectations and chaotic dynamics : a replication study

Belaire-Franch, Jorge - 2018

In this paper the author analyzes the behavior of exchange rates expectations for four currencies, by considering a re-calculation and an extension of Resende and Zeidan (Expectations and chaotic dynamics: Empirical evidence on exchange rates, Economics Letters, 2008). Considering Lyapunov...

Persistent link: https://www.econbiz.de/10011863440

Expected lifetime range ratio to find mean reversion : evidence from Indian stock market

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 6 (2018) 1, pp. 1-23

than its bootstrap means, thereby indicating a considerable amount of mean reversion. We argue that ELR ratio is more …

Persistent link: https://www.econbiz.de/10011905649