Financial Econometrics and Forecasting

金融计量与预测

• 批准号: 9818662
• 负责人: Francis Diebold
• 金额: $ 24.41万
• 依托单位: University of Pennsylvania
• 依托单位国家: 美国
• 项目类别: Continuing grant
• 财政年份: 1999
• 资助国家: 美国
• 起止时间: 1999-08-15 至 2003-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9818662&HistoricalAwards=false
• 关键词: Financial; Econometrics; Forecasting

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.

这种基于成就的更新是有道理的，因为在以前的NSF奖（SBR 95-20966）下对宏观经济学，金融学，劳动经济学和农业经济学做出了令人印象深刻的方法和实质性贡献。 这次更新的重点是金融经济学和预测之间的联系。 这项研究从计量经济学的角度深化和细化了这种联系，因为它的进展：（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，对于资产市场信息到达中的长记忆源，以及对资产回报波动动态的影响）（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，可以从期权和相关衍生品市场评估崩溃概率，并成功地将其建模为可观察的基本面函数，从而产生可行的“早期预警系统”）。基本面和衍生品市场尤其重要。 由于显而易见的原因，最近越来越多的论文集中讨论货币危机的早期预警系统。 大多数文献都集中在领先指标方法上，即使这些概率没有明确建模，也可以传达有关崩溃概率的信息，或者是明确的概率模型，如logistic模型。 该项目采用了一种不同的、互补的、强大的方法，它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溃概率。