The Distribution of Realized Exchange Rate Volatility Andersen, Torben G; Bollerslev, Tim; Diebold, Francis X ...
Journal of the American Statistical Association,
03/2001, Letnik:
96, Številka:
453
Journal Article
Recenzirano
Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade. Our ...estimates, termed realized volatilities and correlations, are not only model-free, but also approximately free of measurement error under general conditions, which we discuss in detail. Hence, for practical purposes, we may treat the exchange rate volatilities and correlations as observed rather than latent. We do so, and we characterize their joint distribution, both unconditionally and conditionally. Noteworthy results include a simple normality-inducing volatility transformation, high contemporaneous correlation across volatilities, high correlation between correlation and volatilities, pronounced and persistent dynamics in volatilities and correlations, evidence of long-memory dynamics in volatilities and correlations, and remarkably precise scaling laws under temporal aggregation.
Rapidly diminishing Arctic summer sea ice is a strong signal of the pace of global climate change. We provide point, interval, and density forecasts for four measures of Arctic sea ice: area, extent, ...thickness, and volume. Importantly, we enforce the joint constraint that these measures must simultaneously arrive at an ice-free Arctic. We apply this constrained joint forecast procedure to models relating sea ice to atmospheric carbon dioxide concentration and models relating sea ice directly to time. The resulting “carbon-trend” and “time-trend” projections are mutually consistent and predict a nearly ice-free summer Arctic Ocean by the mid-2030s with an 80% probability. Moreover, the carbon-trend projections show that global adoption of a lower carbon path would likely delay the arrival of a seasonally ice-free Arctic by only a few years.
Rapidly diminishing Arctic summer sea ice is a strong signal of the pace of global climate change. We provide point, interval, and density forecasts for four measures of Arctic sea ice: area, extent, ...thickness, and volume. Importantly, we enforce the joint constraint that these measures must simultaneously arrive at an ice-free Arctic. We apply this constrained joint forecast procedure to models relating sea ice to atmospheric carbon dioxide concentration and models relating sea ice directly to time. The resulting “carbon-trend” and “time-trend” projections are mutually consistent and predict a nearly ice-free summer Arctic Ocean by the mid-2030s with an 80% probability. Moreover, the carbon-trend projections show that global adoption of a lower carbon path would likely delay the arrival of a seasonally ice-free Arctic by only a few years.
Against the background of explosive growth in data volume, velocity, and variety, Francis X. Diebold investigates the origins of the term “Big Data”
Against the background of explosive growth in data ...volume, velocity, and variety, Francis X. Diebold investigates the origins of the term “Big Data”.
We propose and illustrate a Markov-switching multifractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on ...high persistence and long memory. Empirical exploration suggests MSMD’s superiority relative to leading competitors.
On the Comparison of Interval Forecasts Askanazi, Ross; Diebold, Francis X.; Schorfheide, Frank ...
Journal of time series analysis,
November 2018, 2018-11-00, 20181101, Letnik:
39, Številka:
6
Journal Article
Recenzirano
Odprti dostop
We explore interval forecast comparison when the nominal confidence level is specified, but the quantiles on which intervals are based are not specified. It turns out that the problem is difficult, ...and perhaps unsolvable. We first consider a situation where intervals meet the Christoffersen conditions (in particular, where they are correctly calibrated), in which case the common prescription, which we rationalize and explore, is to prefer the interval of shortest length. We then allow for mis‐calibrated intervals, in which case there is a calibration‐length tradeoff. We propose two natural conditions that interval forecast loss functions should meet in such environments, and we show that a variety of popular approaches to interval forecast comparison fail them. Our negative results strengthen the case for abandoning interval forecasts in favor of density forecasts: Density forecasts not only provide richer information, but also can be readily compared using known proper scoring rules like the log predictive score, whereas interval forecasts cannot.
The popular Nelson–Siegel Nelson, C.R., Siegel, A.F., 1987. Parsimonious modeling of yield curves. Journal of Business 60, 473–489 yield curve is routinely fit to cross sections of intra-country bond ...yields, and Diebold–Li Diebold, F.X., Li, C., 2006. Forecasting the term structure of government bond yields. Journal of Econometrics 130, 337–364 have recently proposed a dynamized version. In this paper we extend Diebold–Li to a global context, modeling a potentially large
set of country yield curves in a framework that allows for both global and country-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the UK and the US, we find that global yield factors do indeed exist and are economically important, generally explaining significant fractions of country yield curve dynamics, with interesting differences across countries.
We examine “realized” daily equity return volatilities and correlations obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial Average. We find that ...the unconditional distributions of realized variances and covariances are highly right-skewed, while the realized logarithmic standard deviations and correlations are approximately Gaussian, as are the distributions of the returns scaled by realized standard deviations. Realized volatilities and correlations show strong temporal dependence and appear to be well described by long-memory processes. Finally, there is strong evidence that realized volatilities and correlations move together in a manner broadly consistent with latent factor structure.
We suggest a new single-equation test for Uncovered Interest Parity () based on a dynamic regression approach. The method provides consistent and asymptotically efficient parameter estimates, and is ...not dependent on assumptions of strict exogeneity. This new approach is asymptotically more efficient than the common approach of using OLS with HAC robust standard errors in the static forward premium regression. The coefficient estimates when spot return changes are regressed on the forward premium are all positive and remarkably stable across currencies. These estimates are considerably larger than those of previous studies, which frequently find negative coefficients. The method also has the advantage of showing dynamic effects of risk premia, or other events that may lead to rejection of UIP or the efficient markets hypothesis.
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