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Tuesday, May 19, 2020 | History

2 edition of Real-time multivariate density forecast evaluation and calibration found in the catalog.

Real-time multivariate density forecast evaluation and calibration

Francis X. Diebold

Real-time multivariate density forecast evaluation and calibration

monitoring the risk of high-frequency returns on foreign exchange

by Francis X. Diebold

  • 328 Want to read
  • 28 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Foreign exchange rates -- Econometric models.,
  • Foreign exchange rates -- Forecasting.,
  • Economic forecasting -- Econometric models.,
  • Multivariate analysis.

  • Edition Notes

    Other titlesMultivariate density forecast evaluation and calibration, Monitoring the risk of high-frequency returns on foreign exchange, Risk of high-frequency returns on foreign exchange, High-frequency returns on foreign exchange
    StatementFrancis X. Diebold, Jinyong Hahn, Anthony S. Tay.
    SeriesNBER working paper series -- working paper 6845, Working paper series (National Bureau of Economic Research) -- working paper no. 6845.
    ContributionsHahn, Jinyong., Tay, Anthony S., National Bureau of Economic Research.
    Classifications
    LC ClassificationsHB1 .W654 no. 6845
    The Physical Object
    Pagination26, [11] p. :
    Number of Pages26
    ID Numbers
    Open LibraryOL22400660M

    This work presents the application of the multi-temporal approach of the Model Conditional Processor (MCP-MT) for predictive uncertainty (PU) estimation in the Godavari River basin, India. MCP-MT is developed for making probabilistic Bayesian decision. It is the most appropriate approach if the uncertainty of future outcomes is to be considered. It yields the best predictive density of future Cited by: 8. calibration world: Internet of Things, the connected factory, Smart Factory, Industry – these all confirm that soon everything will be connected to the Internet, even calibrators. Big Data – manufacturing industries will increase efficiency and productivity by collecting, .

    data, so the real-time algorithm will be modified to use the larger calibration areas (there will actually be four calibration regions, with W as the divider between GOES-West and GOES-East). A comparison of the rain rate estimation skill for July against microwave rain rates is shown in Fig. 1 . Diebold, F., J. Hahn, and A. Tay. “Multivariate Density Forecast Evaluation and Calibration in Financial Risk Management: High-Frequency Returns on Foreign Exchange,” The Review of Economics and Statistics, 81(4): –

    Using real-time data and out-of-sample forecasting exercises, we find that the inclusion of financial variable nowcasts by themselves generally improves forecast accuracy for macroeconomic variables relative to unconditional forecasts. Read More. Partially Disaggregated Household-level Debt Service Ratios: Construction and Validation. Title: Real-time covariance estimation for the local level model. Authors: K. Triantafyllopoulos (Submitted on 4 Nov ) Abstract: This paper develops on-line inference for the multivariate local level model, with the focus being placed on covariance estimation of the innovations. We assess the application of the inverse Wishart prior Author: K. Triantafyllopoulos.


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Real-time multivariate density forecast evaluation and calibration by Francis X. Diebold Download PDF EPUB FB2

Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange Francis X. Diebold Jinyong Hahn Anthony S. Tay University of Pennsylvania University of Pennsylvania National University Stern School, NYU and M.I.T.

of Singapore and NBER This Draft/Print: Aug Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange Francis X. Diebold, Jinyong Hahn, Anthony S. Tay. NBER Working Paper No. Issued in December NBER Program(s):International Finance and Macroeconomics, Asset PricingCited by: Francis X.

Diebold & Jinyong Hahn & Anthony S. Tay, "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," Center for Financial Institutions Working PapersWharton School Center for Financial Institutions, University of Pennsylvania.

Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations.

We also provide conditions under which a technique of density forecast "calibration " can be used to improve deficient density forecasts. BibTeX @TECHREPORT{Diebold98real-timemultivariate, author = {Francis X.

Diebold and Jinyong Hahn and Anthony S. Tay}, title = {Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange}, institution = {}, year = {}}. Real-time multivariate density forecast evaluation and calibration.

Cambridge, MA: National Bureau of Economic Research, © (OCoLC) Material Type: Internet resource: Document Type: Book, Internet Resource: All Authors / Contributors: Francis X Diebold; Jinyong Hahn; Anthony S Tay; National Bureau of Economic Research.

REAL-TIME MULTIVARIATE DENSITY FORECAST EVALUATION AND CALIBRATION: MONITORlNG THE RISK OF HIGH-FREQUENCY RETURNS ON FOREIGN EXCHANGE: Authors: Diebold, Francis X.

Hahn, Jinyong Tay, Anthony S. Issue Date: Dec Publisher: Stern School of Business, New York University: Series/Report no.: SOR Abstract. density forecasts, multi-step-ahead density forecast evaluation, multivariate density forecast evaluation, monitoring for structural change and its relationship to density forecasting, and density forecast evaluation with known loss function.

Acknowledgments: Thorough reading and comments from two referees and Ken West drastically improved this. Get this from a library.

Real-time multivariate density forecast evaluation and calibration: monitoring the risk of high-frequency returns on foreign exchange. [Francis X Diebold; Jinyong Hahn; Anthony S Tay; National Bureau of Economic Research.] -- Abstract: We provide a framework for evaluating and improving multivariate density forecasts.

Multivariate Calibration Harald Martens, Chemist, Norwegian Food Research Institute, Aas, Norway and Norwegian Computing Center, Oslo, Norway Tormod Næs, Statistician, Norwegian Food Research Institute, Aas, Norway The aim of this inter-disciplinary book is to present an up-to-date view of multivariate calibration of analytical instruments, for use in research, development and routine 4/5(2).

Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," New York University, Leonard N.

Stern School Finance Department Working Paper SeiresNew York University, Leonard N. Stern School of Business. “Multivariate density forecast evaluation and calibration in financial risk management: High frequency returns on foreign exchange”.

Review of Economics and Statist –], White. density forecasting. Accordingly, this paper examines, with real-time data, density forecasts of U.S.

GDP growth, unemployment, inflation, and the federal funds rate from BVAR models with stochastic volatility. The results indicate that adding stochastic volatility to BVARs materially improves the real-time accuracy of density by: The authors develop a simple and operational framework for density forecast evaluation.

They illustrate the framework with a detailed application to density forecasting of asset returns in. A critical positioning task was simulated to demonstrate real-time system performance reliability prediction.

In the demonstration, the positions of an object in the x–y plane were monitored in real-time by an ISOTRAK II tracking sample interval in data acquisition was s and the time interval of the one-step forecast was also set to by: The full text of this article hosted at is unavailable due to technical difficulties.

Diebold FX, Hahn J, Tay AS () Multivariate density forecast evaluation and calibration in financial risk management: high-frequency returns of foreign exchange.

Rev Econ Stat – CrossRef Google ScholarAuthor: Krystian Jaworski. A multivariate time series approach to modeling and the development and evaluation of means to forecast ED census and the demand for diagnostic resources were of primary importance. Clinical information systems are critically important both as a source of real-time and historical data from which models can be developed and as a platform Cited by: Diebold, F.X., Hahn, J.

und Tay, A.S., Multivariate Density Forecast Evaluation and Calibration on Financial Risk Management: High Frequency Returns on Foreign Exchange, The Review of Economics and Statistics 81 (), S. Google ScholarCited by: 8. High-Dimensional Covariance Estimation focuses on the methodologies based on shrinkage, thresholding, and penalized likelihood with applications to Gaussian graphical models, prediction, and mean-variance portfolio management.

The book relies heavily on regression-based ideas and interpretations to connect and unify many existing methods and Cited by:. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange: 0: 0: 0: 0: 1: 6: Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange: 0: 0: 1: 0: 0: 4: 1,Self-Calibrating Multivariate Precipitation Retrieval Satellite-based rain rate estimates for real-time flood forecasting • High spatial resolution (4 km) • Brief data latency (15 min) Uses a blend of IR and MW data to maximize accuracy and coverage while minimizing latency.Using ARIMA model, you can forecast a time series using the series past values.

In this post, we build an optimal ARIMA model from scratch and extend it to Seasonal ARIMA (SARIMA) and SARIMAX models.

You will also see how to build autoarima models in python.