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Evaluating covariance matrix forecasts in a value-at-risk framework

Lopez, Jose A.; Walter, Christian A. - Federal Reserve Bank of San Francisco - 2000

Covariance matrix forecasts of financial asset returns are an important component of current practice in financial risk management. A wide variety of models, ranging from matrices of simple summary measures to covariance matrices implied from option prices, are available for generating such...

Persistent link: https://www.econbiz.de/10005514423

Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models

Robertson, John C.; Tallman, Ellis W. - Federal Reserve Bank of Atlanta - 1999

. In this paper, we examine how the treatment of prior uncertainty about parameter values can affect forecasting accuracy …

Persistent link: https://www.econbiz.de/10005514597

Structural change and the combination of forecasts

Diebold, Francis X.; Pauly, Peter - Federal Reserve Board (Board of Governors of the … - 1986

Persistent link: https://www.econbiz.de/10005514831

Regulatory evaluation of value-at-risk models

Lopez, Jose A. - Federal Reserve Bank of New York - 1997

Beginning in 1998, U.S. commercial banks may determine their regulatory capital requirements for financial market risk exposure using value-at-risk (VaR) models i.e., models of the time-varying distributions of portfolio returns. Currently, regulators have available three hypothesis-testing...

Persistent link: https://www.econbiz.de/10005526313

Computable general equilibrium models and monetary policy advice

Altig, David E.; Carlstrom, Charles T.; Lansing, Kevin J. - In: Proceedings (1994), pp. 1472-1505

Persistent link: https://www.econbiz.de/10005420293

Model selection criteria for factor-augmented regressions

Groen, Jan J. J.; Kapetanios, George - Federal Reserve Bank of New York - 2009

In a factor-augmented regression, the forecast of a variable depends on a few factors estimated from a large number of predictors. But how does one determine the appropriate number of factors relevant for such a regression? Existing work has focused on criteria that can consistently estimate the...

Persistent link: https://www.econbiz.de/10005420506

Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting

Manera, Matteo; Longo, Chiara; Markandya, Anil; Scarpa, … - Fondazione ENI Enrico Mattei (FEEM) - 2007

different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic …). The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should … common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static and …

Persistent link: https://www.econbiz.de/10005423181

P* revisited: money-based inflation forecasts with a changing equilibrium velocity.

Orphanides, Athanasios; Porter, Richard - Federal Reserve Board (Board of Governors of the … - 1998

This paper implements recursive techniques to estimate the equilibrium level of M2 velocity and to forecast inflation using the P* model. The recursive estimates of equilibrium velocity are obtained by applying regression trees and least squares methods to a standard representation of M2 demand,...

Persistent link: https://www.econbiz.de/10005393915

How does the market interpret analysts' long-term growth forecasts?

Sharpe, Steven A. - Federal Reserve Board (Board of Governors of the … - 2002

This paper examines the effect of inflation on stock valuations and expected long-run returns. Ex ante estimates of expected long-run returns are constructed by incorporating analysts' earnings forecasts into a variant of the Campbell-Shiller dividend-price ratio model. The negative relation...

Persistent link: https://www.econbiz.de/10005393967

Forecasting Brazilian output in the presence of breaks: a comparison of linear and nonlinear models

Chauvet, Marcelle; Lima, Elcyon C.R.; Vasquez, Brisne - Federal Reserve Bank of Atlanta - 2002

This paper compares the forecasting performance of linear and nonlinear models under the presence of structural breaks … probabilities of recessions are used to analyze the Brazilian business cycle. The ability of each model in forecasting out …-of-sample the growth rates of GDP is examined. The forecasting ability of the two models is also compared with linear specifications …

Persistent link: https://www.econbiz.de/10005401964