 Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction BandsAnna Staszewska-Bystrova and Peter Winker Central European Journal of Economic Modelling and Econometrics, 2014, vol. 6, issue 2, 89-104 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 naïve prediction bands constructed pointwise. Keywords: forecasts; corporate bond spreads; prediction bands (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:6:y:2014:i:2:p:89-104 Access Statistics for this article More articles in Central European Journal of Economic Modelling and Econometrics from Central European Journal of Economic Modelling and Econometrics |
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