Blar i Arbeidsnotater / Working Papers på emneord "density forecasting"

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    • Forecasting the Intraday Market Price of Money 

      Monticini, Andrea; Ravazzolo, Francesco (Working Papers;6/2011, Working paper, 2011)
      Market efficiency hypothesis suggests a zero level for the intraday interest rate. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents ...

    • Oil Price Density Forecasts: Exploring the Linkages with Stock Markets 

      Lombardi, Marco J.; Ravazzolo, Francesco (Working Papers;24/2012, Working paper, 2012)
      In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such claims ...

    • Partially Censored Posterior for robust and efficient risk evaluation 

      Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan; van Dijk, Herman K. (Working Paper;12/2019, Working paper, 2019)
      A novel approach to inference for a specific region of the predictive distribution is introduced. An important domain of application is accurate prediction of financial risk measures, where the area of interest is the left ...

    • Weights and Pools for a Norwegian Density Combination 

      Bjørnland, Hilde C.; Gerdrup, Karsten R.; Smith, Christie; Jore, Anne Sofie; Thorsrud, Leif Anders (Working Papers;6/2010, Working paper, 2010)
      We apply a suite of models to produce quasi-real-time density forecasts of Norwegian GDP and inflation, and evaluate different combination and selection methods using the Kullback-Leibler information criterion (KLIC). We ...