Seminars 2008 — Abstracts
Friday, November 21
Speaker:
Jens Breckling,
Title:
A Non-parametric Approach to Forecasting Distribution Functions
Abstract: The objective of this seminar
is to present a non-parametric assumption-free technique for forecasting
the conditional distribution of an equity index conditional on its
current value. The technique is based on the non- parametric M-quantile
regression approach of Breckling and Chambers (1988). Several modifications
are introduced to ensure that: (a) the quantile lines do not overlap,
(b) the forecast has approximately the correct conditional mean,
and (c) the forecast quantiles are correctly calibrated to the observed
data. The technique is applied to the German DAX stock market index,
although it is widely applicable. In this presentation the focus
will be on the merits of the approach.
