Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/59484 
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dc.contributor.authorCorradi, Valentinaen
dc.contributor.authorSwanson, Normanen
dc.date.accessioned2011-06-14-
dc.date.accessioned2012-06-25T11:57:31Z-
dc.date.available2012-06-25T11:57:31Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/59484-
dc.description.abstractThis 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. Then, we construct accuracy assessment 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 Salanié (2004). In an empirical illustration, the predictive densities from several models of the one-month federal funds rates are compared.en
dc.language.isoengen
dc.publisher|aRutgers University, Department of Economics |cNew Brunswick, NJen
dc.relation.ispartofseries|aWorking Paper |x2011-12en
dc.subject.jelC22en
dc.subject.jelC51en
dc.subject.ddc330en
dc.subject.keywordblock bootstrapen
dc.subject.keyworddiffusion processesen
dc.subject.keywordjumpsen
dc.subject.keywordnonparametric simulated quasi maximum likelihooden
dc.subject.keywordparameter estimation erroren
dc.subject.keywordrecursive estimationen
dc.subject.keywordstochastic volatilityen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwModellierungen
dc.subject.stwSchätztheorieen
dc.subject.stwTheorieen
dc.titlePredictive density construction and accuracy testing with multiple possibly misspecified diffusion models-
dc.typeWorking Paperen
dc.identifier.ppn662033450en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:rut:rutres:201112en

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