Financial Econometrics and Forecasting

这种基于成就的更新是有必要的，因为前一届国家科学基金会奖(SBR95-20966)在方法和实质性方面对宏观经济学、金融、劳动经济学和农业经济学做出了令人印象深刻的贡献。这次更新的重点是金融经济学和预测之间的联系。随着研究的进展，该研究从计量经济学的角度深化和提炼了这种联系：(1)测量(例如，用于资产回报波动性的参数和非参数估计的新方法和结果)(2)模型(例如，用于资产市场信息到达中的长记忆源，具有对资产回报波动动力学的影响)(3)工具(例如，用于多变量密度预测评估、校准和结构变化检测)(4)实质性知识(例如，是否可以从期权和相关衍生品市场评估崩溃概率并成功地建模为可观测基本面的函数，形成一个可行的“预警系统”)。坠机概率研究。基本面和衍生品市场尤为重要。出于显而易见的原因，越来越多的最新论文聚焦于货币危机的早期预警系统。大多数文献要么专注于领先指标方法，即使这些概率没有明确建模，也传递关于崩溃概率的信息，要么关注显式概率模型，如Logistic。这个项目采取了一种不同的、互补的和强大的方法，利用期权价格中包含的丰富的基于市场的信息来推断市场评估的崩盘概率。

This Accomplishment Based Renewal is warranted because of the impressive methodological and substantive contributions made under the previous NSF award (SBR 95-20966) to macroeconomics, finance, labor economics, and agricultural economics. This renewal focuses on the connection between financial economics and forecasting. The research deepens and refiner that connection from an econometric perspective, as it advances:(1) measurement (e.g., new methods and results for both parametric and nonparametric estimation of asset return volatility)(2) models (e.g., for the sources of long memory in asset market information arrival, with implications for asset return volatility dynamics)(3) tools (e.g., for multivariate density forecast evaluation, calibration, and structural change detection)(4) substantive knowledge (e.g., can crash probabilities be assessed from options and related derivatives markets and successfully modeled as functions of observable fundamentals, resulting in a workable "early warning system").The research on crash probabilities. fundamentals and derivatives markets is especially significant. For obvious reasons, a growing number of very recent papers focus on early warning systems for currency crises. Most of that literature focuses either on leading indicator methods, which convey information about crash probabilities even if those probabilities are not explicitly modeled, or explicit probability models such as the logistic. This project takes a different, complementary, and powerful approach, which makes use of the rich market-based information contained in options prices to infer market-assessed crash probabilities.