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Predictability hidden by anomalous observations

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013 - This version: March 2013

Persistent link: https://www.econbiz.de/10010221576

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

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

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

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie - 2011

In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

Persistent link: https://www.econbiz.de/10013128856

Industry and Time Specific? An Examination of Bankruptcy Forecasting

Cooksley, Ben - 2016

The purpose of this research is to determine whether bankruptcy forecasting models are subject to industry and time specific effects. A sample of 15,848 firms was obtained from the Compustat and CRSP databases, spanning the time period 1950 to 2013, of which 396 were bankrupt. Using five models...

Persistent link: https://www.econbiz.de/10013000033

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

Andersen, Torben - 2020

This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all – or a subset – of the variables may be fractionally integrated and the...

Persistent link: https://www.econbiz.de/10012831312

Forecasting Nonlinear Crude Oil Future Prices

Moshiri, Saeed - 2013

The movements in oil prices are very complex and, therefore, seem to be unpredictable. However, one of the main challenges facing econometric models is to forecast such seemingly unpredictable economic series. Traditional linear structural models have not been promising when used for oil price...

Persistent link: https://www.econbiz.de/10013094285