Evaluating the calibration of multi-step-ahead density forecasts using raw moments:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt, M.
Dt. Bundesbank
2011
|
| Schriftenreihe: | Discussion paper / Deutsche Bundesbank : Series 1, Economic studies
2011,32 |
| Online-Zugang: | Volltext Inhaltsverzeichnis |
| Beschreibung: | Zsfassung in dt. Sprache |
| Beschreibung: | 73 S. graph. Darst. |
| ISBN: | 9783865587732 9783865587725 |
Internformat
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV039873061 | ||
| 003 | DE-604 | ||
| 005 | 20120808 | ||
| 007 | t | ||
| 008 | 120207s2011 d||| |||| 00||| eng d | ||
| 020 | |a 9783865587732 |c (Internetversion) |9 978-3-86558-773-2 | ||
| 020 | |a 9783865587725 |c (Printversion) |9 978-3-86558-772-5 | ||
| 035 | |a (OCoLC)785830182 | ||
| 035 | |a (DE-599)GBV684344750 | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-188 |a DE-355 |a DE-12 |a DE-945 | ||
| 100 | 1 | |a Knüppel, Malte |d 1974- |e Verfasser |0 (DE-588)12409029X |4 aut | |
| 245 | 1 | 0 | |a Evaluating the calibration of multi-step-ahead density forecasts using raw moments |c Malte Knüppel |
| 264 | 1 | |a Frankfurt, M. |b Dt. Bundesbank |c 2011 | |
| 300 | |a 73 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Discussion paper / Deutsche Bundesbank : Series 1, Economic studies |v 2011,32 | |
| 500 | |a Zsfassung in dt. Sprache | ||
| 810 | 2 | |a Deutsche Bundesbank |t Discussion paper |v Series 1, Economic studies ; 2011,32 |w (DE-604)BV017594637 |9 2011,32 | |
| 856 | 4 | 1 | |u http://hdl.handle.net/10419/54982 |x Verlag |z kostenfrei |3 Volltext |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024732345&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 912 | |a ebook | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-024732345 | ||
Datensatz im Suchindex
| _version_ | 1804148815339454464 |
|---|---|
| adam_text | Titel: Evaluating the calibration of multi-step-ahead density forecasts using raw moments
Autor: Knüppel, Malte
Jahr: 2011
Contents
1 Introduction 1
2 Calibration Tests for Density Forecasts 6
2.1 The Test of Berkowitz (2001) ..................... 7
2.2 The Test of Bai and Ng (2005)..................... 8
2.3 Alternative Tests Based on Raw Moments.............. 9
3 Monte Carlo Simulation Setup 14
3.1 The Densities.............................. 14
3.2 The Simulation Environment ..................... 18
4 Simulation Results 25
4.1 Size ................................... 25
4.2 Size-Adjusted Power.......................... 28
4.3 Summary ................................ 34
5 Extensions 35
6 Empirical Application 38
7 Conclusion and Outlook 43
A Appendix: Proof 50
|
| any_adam_object | 1 |
| author | Knüppel, Malte 1974- |
| author_GND | (DE-588)12409029X |
| author_facet | Knüppel, Malte 1974- |
| author_role | aut |
| author_sort | Knüppel, Malte 1974- |
| author_variant | m k mk |
| building | Verbundindex |
| bvnumber | BV039873061 |
| collection | ebook |
| ctrlnum | (OCoLC)785830182 (DE-599)GBV684344750 |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01487nam a2200337 cb4500</leader><controlfield tag="001">BV039873061</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20120808 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">120207s2011 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783865587732</subfield><subfield code="c">(Internetversion)</subfield><subfield code="9">978-3-86558-773-2</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783865587725</subfield><subfield code="c">(Printversion)</subfield><subfield code="9">978-3-86558-772-5</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)785830182</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)GBV684344750</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-188</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-12</subfield><subfield code="a">DE-945</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Knüppel, Malte</subfield><subfield code="d">1974-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)12409029X</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Evaluating the calibration of multi-step-ahead density forecasts using raw moments</subfield><subfield code="c">Malte Knüppel</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Frankfurt, M.</subfield><subfield code="b">Dt. Bundesbank</subfield><subfield code="c">2011</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">73 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Discussion paper / Deutsche Bundesbank : Series 1, Economic studies</subfield><subfield code="v">2011,32</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Zsfassung in dt. Sprache</subfield></datafield><datafield tag="810" ind1="2" ind2=" "><subfield code="a">Deutsche Bundesbank</subfield><subfield code="t">Discussion paper</subfield><subfield code="v">Series 1, Economic studies ; 2011,32</subfield><subfield code="w">(DE-604)BV017594637</subfield><subfield code="9">2011,32</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://hdl.handle.net/10419/54982</subfield><subfield code="x">Verlag</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024732345&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ebook</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-024732345</subfield></datafield></record></collection> |
| id | DE-604.BV039873061 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:13:08Z |
| institution | BVB |
| isbn | 9783865587732 9783865587725 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024732345 |
| oclc_num | 785830182 |
| open_access_boolean | 1 |
| owner | DE-188 DE-355 DE-BY-UBR DE-12 DE-945 |
| owner_facet | DE-188 DE-355 DE-BY-UBR DE-12 DE-945 |
| physical | 73 S. graph. Darst. |
| psigel | ebook |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Deutsche Bundesbank : Series 1, Economic studies |
| spelling | Knüppel, Malte 1974- Verfasser (DE-588)12409029X aut Evaluating the calibration of multi-step-ahead density forecasts using raw moments Malte Knüppel Frankfurt, M. Dt. Bundesbank 2011 73 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Deutsche Bundesbank : Series 1, Economic studies 2011,32 Zsfassung in dt. Sprache Deutsche Bundesbank Discussion paper Series 1, Economic studies ; 2011,32 (DE-604)BV017594637 2011,32 http://hdl.handle.net/10419/54982 Verlag kostenfrei Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024732345&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Knüppel, Malte 1974- Evaluating the calibration of multi-step-ahead density forecasts using raw moments |
| title | Evaluating the calibration of multi-step-ahead density forecasts using raw moments |
| title_auth | Evaluating the calibration of multi-step-ahead density forecasts using raw moments |
| title_exact_search | Evaluating the calibration of multi-step-ahead density forecasts using raw moments |
| title_full | Evaluating the calibration of multi-step-ahead density forecasts using raw moments Malte Knüppel |
| title_fullStr | Evaluating the calibration of multi-step-ahead density forecasts using raw moments Malte Knüppel |
| title_full_unstemmed | Evaluating the calibration of multi-step-ahead density forecasts using raw moments Malte Knüppel |
| title_short | Evaluating the calibration of multi-step-ahead density forecasts using raw moments |
| title_sort | evaluating the calibration of multi step ahead density forecasts using raw moments |
| url | http://hdl.handle.net/10419/54982 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024732345&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV017594637 |
| work_keys_str_mv | AT knuppelmalte evaluatingthecalibrationofmultistepaheaddensityforecastsusingrawmoments |