Results 1  10
of
1,663
Comparing Predictive Accuracy
 JOURNAL OF BUSINESS AND ECONOMIC STATISTICS, 13, 253265
, 1995
"... We propose and evaluate explicit tests of the null hypothesis of no difference in the accuracy of two competing forecasts. In contrast to previously developed tests, a wide variety of accuracy measures can be used (in particular, the loss function need not be quadratic, and need not even be symmetri ..."
Abstract

Cited by 1175 (26 self)
 Add to MetaCart
We propose and evaluate explicit tests of the null hypothesis of no difference in the accuracy of two competing forecasts. In contrast to previously developed tests, a wide variety of accuracy measures can be used (in particular, the loss function need not be quadratic, and need not even be symmetric), and forecast errors can be nonGaussian, nonzero mean, serially correlated, and contemporaneously correlated. Asymptotic and exact finite sample tests are proposed, evaluated, and illustrated.
Filtering via simulation: Auxiliary particle filters
 Journal of the American Statistical Association
, 1999
"... ..."
Stochastic volatility: Likelihood inference and comparison with ARCH models,Review of Economic Studies
, 1998
"... ..."
Marginal likelihood from the Gibbs output
 J. Am. Stat. Assoc
, 1995
"... Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at ..."
Abstract

Cited by 518 (39 self)
 Add to MetaCart
(Show Context)
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at
Time Varying World Market Integration
 Journal of Finance
, 1995
"... We propose a measure of capital market integration arising from a conditional regimeswitching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a numb ..."
Abstract

Cited by 452 (37 self)
 Add to MetaCart
We propose a measure of capital market integration arising from a conditional regimeswitching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a number of emerging markets exhibit timevarying integration. Some markets appear more integrated than one might expect based on prior knowledge of investment restrictions. Other markets appear segmented even though foreigners have relatively free access to their capital markets. While there is a perception that world capital markets have become more integrated, our countryspecific investigation suggests that this is not always the case. ∗We have benefitted from the comments of Warren Bailey, Bernard Dumas,
Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a MarkovSwitching Model of Business Cycle
, 1999
"... We hope to be able to provide answers to the following questions: 1) Has there been a structural break in postwar U.S. real GDP growth toward more stabilization? 2) If so, when would it have been? 3) What's the nature of the structural break? For this purpose, we employ a Bayesian approach to d ..."
Abstract

Cited by 396 (15 self)
 Add to MetaCart
We hope to be able to provide answers to the following questions: 1) Has there been a structural break in postwar U.S. real GDP growth toward more stabilization? 2) If so, when would it have been? 3) What's the nature of the structural break? For this purpose, we employ a Bayesian approach to dealing with structural break at an unknown changepoint in a Markovswitching model of business cycle. Empirical results suggest that there has been a structural break in U.S. real GDP growth toward more stabilization, with the posterior mode of the break date around 1984:1. Furthermore, we #nd a narrowing gap between growth rates during recessions and booms is at least as important as a decline in the volatility of shocks. Key Words: Bayes Factor, Gibbs sampling, Marginal Likelihood, MarkovSwitching, Stabilization, Structural Break. JEL Classi#cations: C11, C12, C22, E32. 1. Introduction In the literature, the issue of postwar stabilization of the U.S. economy relative to the prewar period has...
Time varying structural vector autoregressions and monetary policy
 Review of Economic Studies
, 2005
"... Monetary policy and the private sector behavior of the US economy are modeled as a time varying structural vector autoregression, where the sources of time variation are both the coefficients and the variance covariance matrix of the innovations. The paper develops a new, simple modeling strategy f ..."
Abstract

Cited by 260 (8 self)
 Add to MetaCart
Monetary policy and the private sector behavior of the US economy are modeled as a time varying structural vector autoregression, where the sources of time variation are both the coefficients and the variance covariance matrix of the innovations. The paper develops a new, simple modeling strategy for the law of motion of the variance covariance matrix and proposes an efficient Markov chain Monte Carlo algorithm for the model likelihood/posterior numerical evaluation. The main empirical conclusions are: 1) both systematic and nonsystematic monetary policy have changed during the last forty years. In particular, systematic responses of the interest rate to inflation and unemployment exhibit a trend toward a more aggressive behavior, despite remarkable oscillations; 2) this has had a negligible effect on the rest of the economy. The role played by exogenous nonpolicy shocks seems more important than interest rate policy in explaining the high inflation and unemployment episodes in recent US economic history.
Asymmetric correlations of equity portfolios
 Journal of Financial Economics
, 2002
"... University. We are especially grateful for suggestions from Geert Bekaert, Bob Hodrick, and Ken Singleton. We also thank an anonymous referee whose comments and suggestions greatly improved the paper. ..."
Abstract

Cited by 218 (1 self)
 Add to MetaCart
University. We are especially grateful for suggestions from Geert Bekaert, Bob Hodrick, and Ken Singleton. We also thank an anonymous referee whose comments and suggestions greatly improved the paper.
An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
 Journal of Financial Economics
, 2004
"... The returns to hedge funds and other alternative investments are often highly serially correlated, in sharp contrast to the returns of more traditional investment vehicles such as longonly equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation and s ..."
Abstract

Cited by 205 (10 self)
 Add to MetaCart
The returns to hedge funds and other alternative investments are often highly serially correlated, in sharp contrast to the returns of more traditional investment vehicles such as longonly equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation and show that the most likely explanation is illiquidity exposure, i.e., investments in securities that are not actively traded and for which market prices are not always readily available. For portfolios of illiquid securities, reported returns will tend to be smoother than true economic returns, which will understate volatility and increase riskadjusted performance measures such as the Sharpe ratio. We propose an econometric model of illiquidity exposure and develop estimators for the smoothing profile as well as a smoothingadjusted Sharpe ratio. For a sample of 908 hedge funds drawn from the TASS database, we show that our estimated smoothing coefficients vary considerably across hedgefund style categories and may be a useful proxy for quantifying illiquidity exposure.