Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands

• Autorzy: Anna Staszewska-Bystrova , Peter Winker
• Języki publikacji: EN

Abstrakty

EN

The recent financial crisis has seen huge swings in corporate bond spreads. It is analyzed what quality VAR-based forecasts would have had prior and during the crisis period. Given that forecasts of the mean of interest rates or financial market prices are subject to large uncertainty independent of the class of models used, major emphasis is put on the quality of measures of forecast uncertainty. The VAR considered is based on a model first suggested in the literature in 2005. In a rolling window analysis, both the model's forecasts and joint prediction bands are calculated making use of recently proposed methods. Besides a traditional analysis of the forecast quality, the performance of the proposed prediction bands is assessed. It is shown that the actual coverage of joint prediction bands is superior to the coverage of naïve prediction bands constructed pointwise. (original abstract)

Słowa kluczowe

EN

Forecast theory; Corporate bonds; VaR method

PL

Teoria prognozy; Obligacje korporacyjne; Miernik ryzyka (VaR)

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2014
• Tom: 6
• Numer: nr 2
• Strony: 89--104

Twórcy

autor

Anna Staszewska-Bystrova

• University of Lodz, Poland

autor

Peter Winker

• Justus-Liebig-University Giessen, Germany

Bibliografia

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Identyfikatory

DOI

DOI: 10.24425/cejeme.2014.119234