Search results for "fat tails"

showing 3 items of 3 documents

Assessing fat-tailed sequential forecast distributions for the Dow-Jones index with logarithmic scoring rules

2007

We use the logarithmic scoring rule for distributions to assess a variety of fat-tailed sequential forecasting distributions for the Dow-Jones industrial stock index from 1980 to the present. The methodology applies Bruno de Finetti''s contributions to understanding how to compare the quality of different coherent forecasting distributions for the same sequence of observations, using proper scoring rules. Four different forms of forecasting distributions are compared: a mixture Normal, a mixture of convex combinations of three Normal distributions, a mixture exponential power distribution, and a mixture of a convex combination of three exponential power distributions. The mixture linear com…

Dow-Jones index exponential power distributions fat tails logarithmic scoring rule mixture distributions partial exchangeability proper scoring rules subjective probability subjectivist statistical methods.
researchProduct

Sequentially Forecasting Economic Indices Using Mixture Linear Combinations of EP Distributions

2021

This article displays an application of the statistical method moti- vated by Bruno de Finetti's operational subjective theory of probability. We use exchangeable forecasting distributions based on mixtures of linear com- binations of exponential power (EP) distributions to forecast the sequence of daily rates of return from the Dow-Jones index of stock prices over a 20 year period. The operational subjective statistical method for comparing distributions is quite different from that commonly used in data analysis, because it rejects the basic tenets underlying the practice of hypothesis test- ing. In its place, proper scoring rules for forecast distributions are used to assess the values o…

Settore MAT/06 - Probabilita' E Statistica MatematicaLogarithmDow-Jones index exponential power distributions fat tails logarithmic scoring rule mixture distributions partial exchangeability proper scoring rules subjective probability subjectivist statistical methods.Scoring ruleStatistical parameterExponential functionNormal distributionSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.StatisticsEconometricsSettore SECS-S/01 - StatisticaLinear combinationMathematicsStatistical hypothesis testingJournal of Data Science
researchProduct

Simulating term structure of interest rates with arbitrary marginals

2011

Decision models under uncertainty rely their analysis on scenarios of the economic factors. A key economic factor is the term structure of interest rates (yields). Simulation models of the yield curve usually assume that the conjugate distribution of the interest rates is lognormal. Dynamic models, like vector auto-regression, implicitly postulate that the logarithm of the interest rates is normally distributed. Statistical analyses have, however, shown that stationary transformations (yield changes) of the interest rates are substantially leptokurtic, thus posing serious doubts on the reliability of the available models. We propose in this paper a VARTA model (Biller and Nelson, 2003) to s…

Logarithmmedia_common.quotation_subjectYield (finance)Management Science and Operations ResearchTerm (time)Interest rateScenario simulationyield curveSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.fat tailsLog-normal distributionKurtosisEconometricsvector autoregressive modelYield curveStatistics Probability and UncertaintyBusiness and International ManagementDecision modelmedia_commonMathematics
researchProduct