Evaluating the calibration of multi-step-ahead density forecasts using raw moments:
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt, M.
Dt. Bundesbank
2011
|
| Series: | Discussion paper / Deutsche Bundesbank : Series 1, Economic studies
2011,32 |
| Online Access: | Volltext Inhaltsverzeichnis |
| Item Description: | Zsfassung in dt. Sprache |
| Physical Description: | 73 S. graph. Darst. |
| ISBN: | 9783865587732 9783865587725 |
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Record in the Search Index
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| 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
|
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| id | DE-604.BV039873061 |
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| indexdate | 2024-07-10T00:13:08Z |
| institution | BVB |
| isbn | 9783865587732 9783865587725 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024732345 |
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| physical | 73 S. graph. Darst. |
| psigel | ebook |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Dt. Bundesbank |
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| 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 |