Showing 1 - 10 of 33
Persistent link: https://www.econbiz.de/10003359634
Persistent link: https://www.econbiz.de/10003338397
Persistent link: https://www.econbiz.de/10003412696
Persistent link: https://www.econbiz.de/10003446751
Our objectives in this paper are twofold. First, we introduce block bootstrap techniques that are (first order) valid in recursive estimation frameworks. Thereafter, we present two examples where predictive accuracy tests are made operational using our new bootstrap procedures. In one...
Persistent link: https://www.econbiz.de/10003698514
This chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed, and a variety of different specification and model evaluation tests due to various authors including Christoffersen and...
Persistent link: https://www.econbiz.de/10003698528
The technique of using densities and conditional distributions to carry out consistent specification testing and model selection amongst multiple diffusion processes have received considerable attention from both financial theoreticians and empirical econometricians over the last two decades....
Persistent link: https://www.econbiz.de/10009766693
In recent years, an impressive body or research on predictive accuracy testing and model comparison has been published in the econometrics discipline. Key contributions to this literature include the paper by Diebold and Mariano (DM: 1995) that sets the groundwork for much of the subsequent work...
Persistent link: https://www.econbiz.de/10009766717
If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...
Persistent link: https://www.econbiz.de/10010361470
Persistent link: https://www.econbiz.de/10002253539