ERN: Forecasting Techniques (Topic)最新文献

筛选
英文 中文
Backtesting GEM vs. GEM2 回溯测试GEM与GEM2
ERN: Forecasting Techniques (Topic) Pub Date : 2009-08-07 DOI: 10.2139/ssrn.1452863
Msci Inc.
{"title":"Backtesting GEM vs. GEM2","authors":"Msci Inc.","doi":"10.2139/ssrn.1452863","DOIUrl":"https://doi.org/10.2139/ssrn.1452863","url":null,"abstract":"Backtesting the enhanced Barra Global Equity Model (GEM2) against the previous version, GEM, highlights key differences between the two models. A large difference is in the risk attribution to country factors. We explain that GEM2’s inclusion of the new World and Volatility factors allows the regression model to separate out country from global market effects. In contrast, GEM’s regression model lumps together both effects, leading to a substantially larger country risk attribution.","PeriodicalId":170198,"journal":{"name":"ERN: Forecasting Techniques (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121776976","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Using the Prediction Error Criterion as a Selection Method in Forecasting Option Prices: A Simulation Approach 用预测误差标准作为期权价格预测的选择方法:一种模拟方法
ERN: Forecasting Techniques (Topic) Pub Date : 2002-10-01 DOI: 10.2139/ssrn.2804976
Stavros Degiannakis, E. Xekalaki
{"title":"Using the Prediction Error Criterion as a Selection Method in Forecasting Option Prices: A Simulation Approach","authors":"Stavros Degiannakis, E. Xekalaki","doi":"10.2139/ssrn.2804976","DOIUrl":"https://doi.org/10.2139/ssrn.2804976","url":null,"abstract":"Degiannakis and Xekalaki (1999) compare the forecasting ability of Autoregressive Conditional Heteroscedastic (ARCH) models using the Correlated Gamma Ratio (CGR) distribution. According to the PEC model selection algorithm, the models with the lowest sum of squared standardized one-step-ahead prediction errors are the most appropriate to exploit future volatility. Based on Engle et al. (1993), an economic criterion to evaluate the PEC model selection algorithm is applied: the cumulative profits of the participants in an options market in pricing oneday index straddle options based on the variance forecasts. An options market consisting of 104 traders is simulated. Each participant applies his/her own variance forecast algorithm to price a straddle on Standard and Poor’s 500 (S&P500) index for the next day. Traders who based their selection on the PEC model selection algorithm achieve the highest profits. Thus, the PEC selection method appears to be a tool in guiding one’s choice of the appropriate model for estimating future volatility in pricing derivatives.","PeriodicalId":170198,"journal":{"name":"ERN: Forecasting Techniques (Topic)","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121873610","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信