University of Surrey

Test tubes in the lab Research in the ATI Dance Research

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

Corradi, V and Swanson, NR (2011) Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models Journal of Econometrics, 161 (2). pp. 304-324.

Full text not available from this repository.

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 Salani (2004). In an empirical illustration, the predictive densities from several models of the one-month federal funds rates are compared. © 2011 Elsevier B.V. All rights reserved.

Item Type: Article
Authors :
NameEmailORCID
Corradi, Vv.corradi@surrey.ac.ukUNSPECIFIED
Swanson, NRUNSPECIFIEDUNSPECIFIED
Date : 1 April 2011
Identification Number : 10.1016/j.jeconom.2010.12.009
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:27
Last Modified : 17 May 2017 14:35
URI: http://epubs.surrey.ac.uk/id/eprint/819742

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year


Information about this web site

© The University of Surrey, Guildford, Surrey, GU2 7XH, United Kingdom.
+44 (0)1483 300800