Friday, November 16, 2018

Nearest-Neighbor Prediction

The beautiful idea has been around for ages. Find the N closest H-histories to the current H-history (you choose/tune N and H), for each H-history see what followed, take an average, and use that as your forecast. Of course there are many variations and extensions. Interesting new work by Dendramis, Kapetanios, and Marcellino is in exactly that tradition, except that Dendramis et al.  don't show much awareness of the tradition, or attempt to stand on its shoulders, which I find odd. I find myself hungry for tighter connections, for example to my favorite old nearest-neighbor prediction piece, Sid Yakowitz's well-known "Nearest-Neighbor Methods for Time Series Analysis,” Journal of Time Series Analysis, 1987.

Thursday, November 15, 2018

JFEC Special Issue for Peter Christoffersen

No, I have not gone into seclusion. Well actually I have, but not intentionally and certainly not for lack of interest in the blog. Just the usual crazy time of year, only worse this year for some reason. Anyway I'll be back very soon, with lots to say! But here's something important and timely, so it can't wait:

Journal of Financial Econometrics

Call for Papers

Special Issue in Honor of Peter Christoffersen

The Journal of Financial Econometrics is organizing a special issue in memory of Professor Peter
Christoffersen, our friend and colleague, who passed away in June 2018. Peter held the TMX Chair in Capital Markets and a Bank of Canada Fellowship and was a widely respected member of the Rotman School at the University of Toronto since 2010. Prior to 2010, Peter was a valued member of the Desautels Faculty of Management at McGill University. In addition to his transformative work in econometrics and volatility models, financial risk and financial innovation had been the focus of Peter’s work in recent years.

We invite paper submissions on topics related to Peter’s contributions to Finance and Econometrics. We are particularly interested in papers related to the following topics:

1)   The use of option-implied information for forecasting; Rare disasters and portfolio
management; Factor structures in derivatives and futures markets.

2)   Volatility, correlation, extreme events, systemic risk and Value-at-Risk modeling for
financial market risk management.

3)   The econometrics of digital assets; Big data and Machine Learning.

To submit a paper, authors should login to the Journal of Financial Econometrics online submission system and follow the submission instructions as per journal policy.  The due date for submissions is June 30, 2019.  It is important to specify in the cover letter that the paper is submitted to the special issue in honor of Peter Christoffersen, otherwise your paper will not be assigned to the guest editors.

Guest Editors

•    Francis X. Diebold, University of Pennsylvania

•    René Garcia, Université de Montréal and Toulouse School of Economics

•    Kris Jacobs, University of Houston