Similar Search Results

Bootstrapping time-varying uncertainty intervals for extreme daily return periods

Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23

This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and … bulk distribution components. This implies that the combination of a stochastic econometric model with extreme value theory …

Persistent link: https://www.econbiz.de/10012804913

Anticipating business-cycle turning points in real time using density forecasts from a VAR

Schreiber, Sven; Soldatenkova, Natalia - In: Journal of macroeconomics 47 (2016), pp. 166-187

Persistent link: https://www.econbiz.de/10011707598

On tail fatness of macroeconomic dynamics

Liu, Xiaochun - In: Journal of macroeconomics 62 (2019), pp. 1-18

Persistent link: https://www.econbiz.de/10012243478

Comparing density forecasts via weighted likelihood ratio tests : asymptotic and bootstrap methods

Giacomini, Raffaella - 2002

Persistent link: https://www.econbiz.de/10003887028

Bootstrap multi-step forecasts of non-Gaussian VAR models

Fresoli, Diego; Ruiz, Esther; Pascual, Lorenzo - In: International journal of forecasting 31 (2015) 3, pp. 834-848

Persistent link: https://www.econbiz.de/10011474590

Assessing distributional properties of forecast errors for fan-chart modelling

Vávra, Marián - In: Empirical economics : a journal of the Institute for … 59 (2020) 6, pp. 2841-2858

Persistent link: https://www.econbiz.de/10012499205

Assessing distributional properties of forecast errors

Vávra, Marián - 2018

Persistent link: https://www.econbiz.de/10012134630

A Bootstrap-Based Nonparametric Forecast Density

Manzan, Sebastiano; Zerom Godefay, Dawit - 2009

future events. By combining the idea of Markov bootstrapping with kernel density estimation, this paper presents a simple …

Persistent link: https://www.econbiz.de/10014047219

Comparing Density Forecasts Via Weighted Likelihood Ratio Tests : Asymptotic and Bootstrap Methods

Giacomini, Raffaella - 2002

This paper proposes and analyzes tests that can be used to compare the accuracy of alternative conditional density forecasts of a variable. The tests are also valid in the broader context of model selection based on out-of-sample predictive ability. We restrict attention to the case of density...

Persistent link: https://www.econbiz.de/10014105681

Bootstrap based probability forecasting in multiplicative error models

Perera, Indeewara; Silvapulle, Mervyn J. - In: Journal of econometrics 221 (2021) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10012618609