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Author:Diebold, Francis X. 

Working Paper
Optimal prediction under asymmetric loss

Prediction problems involving asymmetric loss functions arise routinely in many fields, yet the theory of optimal prediction under asymmetric loss is not well developed. We study the optimal prediction problem under general loss structures and characterize the optimal predictor. We compute it numerically in less tractable cases. A key theme is that the conditionally optimal forecast is biased under asymmetric loss and that the conditionally optimal amount of bias is time-varying in general and depends on higher-order conditional moments. Thus, for example, volatility dynamics (e.g., GARCH ...
Working Papers , Paper 97-11

Working Paper
Ex ante turning point forecasting with the composite leading index

Finance and Economics Discussion Series , Paper 40

Conference Paper
Stock returns and expected business conditions: half a century of direct evidence

Proceedings

Working Paper
Unit roots in economic time series: a selective survey

Finance and Economics Discussion Series , Paper 49

Working Paper
Dynamic equilibrium economies: a framework for comparing models and data

We propose a constructive, multivariate framework for assessing agreement between (generally misspecified) dynamic equilibrium models and data, which enables a complete second-order comparison of the dynamic properties of models and data. We use bootstrap algorithms to evaluate the significance of deviations between models and data, and we use goodness-of-fit criteria to produce estimators that optimize economically relevant loss functions. We provide a detailed illustrative application to modeling the U.S. cattle cycle.
Finance and Economics Discussion Series , Paper 1997-23

Working Paper
Improving GDP measurement: a measurement-error perspective

We provide a new and superior measure of U.S. GDP, obtained by applying optimal signal-extraction techniques to the (noisy) expenditure-side and income-side estimates. Its properties -- particularly as regards serial correlation -- differ markedly from those of the standard expenditure-side measure and lead to substantially-revised views regarding the properties of GDP.
Working Papers , Paper 13-16

Working Paper
Regime switching with time-varying transition probabilities

Working Papers , Paper 93-12

Working Paper
Real-time measurement of business conditions

We construct a framework for measuring economic activity in real time (e.g., minute-by-minute), using a variety of stock and flow data observed at mixed frequencies. Specifically, we propose a dynamic factor model that permits exact filtering, and we explore the efficacy of our methods both in a simulation study and in a detailed empirical example.
International Finance Discussion Papers , Paper 901

Working Paper
Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers

Finance and Economics Discussion Series , Paper 205

Working Paper
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean

Working Papers , Paper 93-5

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