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非对称损失与非线性下最优预测的性质AI 解读

Evaluation of forecast optimality in economics and finance has almost exclusively been conducted under the assumption of mean squared error loss. Under this loss function optimal forecasts should be unbiased and forecast errors serially uncorrelated at the single period horizon with increasing variance as the forecast horizon grows. Using analytical results we show in this paper that all the standard properties of optimal forecasts can be invalid under asymmetric loss and…

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ABSTRACT We apply a new bootstrap statistical technique to examine the performance of the U.S. open‐end, domestic equity mutual fund industry over the 1975 to 2002 period. A bootstrap approach is necessary because the cross section of mutual fund alphas has a complex nonnormal distribution due to heterogeneous risk‐taking by funds as well as nonnormalities in individual fund alpha distributions. Our bootstrap approach uncovers findings that differ from many past studies.…

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不同计量设定下风险的期限结构AI 解读

This paper characterizes the term structure of risk measures such as value at risk (VaR) and expected shortfall under different econometric approaches including multivariate regime switching, GARCH-in-mean models with Student-t errors, two-component GARCH models and a nonparametric bootstrap. We show how to derive the risk measures for each of these models and document large variations in term structures across econometric specifications. An out-of-sample forecasting…

股票与债券收益联合分布非线性动态的计量模型AI 解读

Abstract This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two‐ or three‐state models capture the univariate dynamics in bond and stock returns, a more complicated four‐state model with regimes characterized as crash, slow growth, bull and recovery states is required to capture their joint distribution. The transition probability matrix of this model has a…

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灵活损失函数下预测理性的估计与检验AI 解读

In situations where a sequence of forecasts is observed, a common strategy is to examine "rationality" conditional on a given loss function. We examine this from a different perspective—supposing that we have a family of loss functions indexed by unknown shape parameters, then given the forecasts can we back out the loss function parameters consistent with the forecasts being rational even when we do not observe the underlying forecasting model? We establish identification…

实时计量经济学AI 解读

This paper considers the problems facing decision makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated systems and discusses some of the possible ways advanced in the literature for dealing with them. The role of feedbacks from the decision maker's actions to the data generating…

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股票价格的持续期依赖AI 解读

This article studies time series dependence in the direction of stock prices by modeling the (instantaneous) probability that a bull or bear market terminates as a function of its age and a set of underlying state variables, such as interest rates. A random walk model is rejected both for bull and bear markets. Although it fits the data better, a generalized autoregressive conditional heteroscedasticity model is also found to be inconsistent with the very long bull markets…

结构突变、不完全信息与股票价格AI 解读

This article presents empirical evidence on the existence of structural breaks in the fundamentals process underlying U.S. stock prices. I develop an asset-pricing model that represents breaks in the context of a Markov switching process with an expanding set of nonrecurring states. Different hypotheses on how investors form expectations about future dividends after a break are proposed and analyzed. A model in which investors do not have full information about the…

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In this paper we utilize White's Reality Check bootstrap methodology (White (1999)) to evaluate simple technical trading rules while quantifying the data‐snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the first time, the paper presents a comprehensive test of performance across all technical trading rules examined. We consider the study of Brock, Lakonishok, and LeBaron (1992), expand…

时变贴现因子现值模型的协整检验AI 解读

Abstract The paper analyses the impact of persistence and volatility in the discount rate in present‐value models on cointegration tests in levels and in logarithms. In simulations we find that the probability of not rejecting the null of no cointegration depends on the persistence of the discount rate process and can be very high when the expected returns process is highly persistent. In contrast, the cointegration tests are very robust with respect to the level of…

预测表现的简单非参数检验AI 解读

This paper derives a distribution free procedure for testing the accuracy of forecasts when the focus of the analysis is on the correct prediction of the direction of change in the variable under consideration. The test applies to a general m x n contingency table and it is shown that the standard null hypothesis of independence in a contingency table implies the null hypothesis of the proposed test of predictive failure but not vice versa. As a test of predictive…