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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
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Corradi, Valentina and Swanson, Norman R. (2011) Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models. Journal of Econometrics, Volume 161 (Number 2). pp. 304-324. doi:10.1016/j.jeconom.2010.12.009 ISSN 0304-4076.
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Official URL: http://dx.doi.org/10.1016/j.jeconom.2010.12.009
Abstract
This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. We then construct tests that are in the spirit of Diebold and Mariano (1995) and White (2000). In order to establish the asymptotic properties of our tests, we also develop a recursive variant of the nonparametric simulated maximum likelihood estimator of Fermanian and Salanie (2004). In an empirical illustration, the predictive densities from several models of the one-month federal funds rates are compared. (C) 2011 Elsevier B.V. All rights reserved.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
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| Divisions: | Faculty of Social Sciences > Economics | ||||
| Library of Congress Subject Headings (LCSH): | Bootstrap (Statistics), Diffusion processes, Parameter estimation error, Estimation theory, Stochastic analysis, Finance -- Mathematical models | ||||
| Journal or Publication Title: | Journal of Econometrics | ||||
| Publisher: | Elsevier BV * North-Holland | ||||
| ISSN: | 0304-4076 | ||||
| Official Date: | 2011 | ||||
| Dates: |
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| Volume: | Volume 161 | ||||
| Number: | Number 2 | ||||
| Page Range: | pp. 304-324 | ||||
| DOI: | 10.1016/j.jeconom.2010.12.009 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Funder: | Economic and Social Research Council (Great Britain) (ESRC), Rutgers University | ||||
| Grant number: | RES-000-23-0006, RES-062-23-0311 (ESRC) |
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