Journal article

Publication year: 2014

Pages: 89-104

Journal: Central European Journal of Economic Modelling and Econometrics

Volume number: 6

Issue number: 2

ISSN: 2080-0886

eISSN: 2080-119X

URL: https://ideas.repec.org/a/psc/journl/v6y2014i2p89-104.html

Publisher: De Gruyter

Abstract: 
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 naive prediction bands constructed pointwise.

Harvard Citation style: Staszewska-Bystrova, A. and Winker, P. (2014) Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands, Central European Journal of Economic Modelling and Econometrics, 6(2), pp. 89-104. https://ideas.repec.org/a/psc/journl/v6y2014i2p89-104.html

APA Citation style: Staszewska-Bystrova, A., & Winker, P. (2014). Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands. Central European Journal of Economic Modelling and Econometrics. 6(2), 89-104. https://ideas.repec.org/a/psc/journl/v6y2014i2p89-104.html