Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 8 of 8 for “"Density forecasts"”.
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Essays on commodity price variability
… The second paper investigates short-term price density forecasting procedures in the Lean Hog Futures Market. High price variability in agricultural commodities increases the importance of accurate forecasts. Density forecasts estimate the future probability distribution of a random variable, …
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Smooth Test and Its Applications in Economics and Finance
… have in practice. I propose both parametric (for density forecast evaluation) and non-parametric (for comparing two unknown densities) techniques in formulating tests based on the probability integral transforms. In case of parametric applications of density forecast evaluation we have to account …
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Essays on financial econometrics : cojump detection and density forecasting
… jumps for ten foreign exchange rates. We compare density forecasts for the prices of Dow Jones 30 stocks, obtained from 5-minute high-frequency returns and daily option prices for four horizons ranging from one day, one week, two weeks to one month. We use the Heston model which incorporates …
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Essays on Bayesian Macroeconometrics
… to aid in model-based multivariate bond yield density forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor models with stochastic volatility. We study the density prediction performance on U.S. bond yields of including …
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Essays on Group Heterogeneity in Panel Data Models
… the proposed predictor generates more precise density forecasts than standard models, which can be primarily attributed to three key features: the nonparametric Bayesian prior, an a priori belief on group structure, and grouped cross-sectional heteroskedasticity. The three chapters are closely …
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Bayesian Applications in Financial Econometrics
… prior provides significant improvements in density forecasts as well as point forecasts. We find evidence of recurring regimes as well as structural breaks in the empirical application. Chapter 2 studies the joint dynamic behaviour between stock market returns and real economic growth rates. …
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Essays on the applications of distributional scaling in finance: Estimation, forecasting and inference
… Chapter 2 a new method is proposed for producing density forecasts for daily financial returns from high-frequency intraday data, under the assumption that the return process possesses distributional scaling properties consistent with that of a unifractal process. In contrast to previous methods …
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Essays on Commodity Price Shocks, Bank Risk and Market Volatility Forecasting
… Canada and provides a set of one–quarter ahead forecasts of tail real and financial risk by factor–based conditional quantile projections. My model forecasts the steepest decline in GDP–Oil at 2009Q2, and the peaks of the nonperforming loan (NPL) ratios of Bank of Montreal (BMO) and Canadian …