期刊名称：Central European Journal of Economic Modelling and Econometrics
印刷版ISSN：2080-0886
电子版ISSN：2080-119X
出版年度：2013
期号：4
页码：89-104
DOI：10.1002/jae.2315.
语种：English
出版社：Polska Akademia Nauk
摘要：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.
关键词：forecasts; corporate bond spreads; prediction bands
