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Incertidumbre y el precio del riesgo en un proceso de convergencia nominal

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  • Ricardo Gimeno

    (Banco de España)

  • José Manuel Marqués-Sevillano

    (Banco de España)

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  • Ricardo Gimeno & José Manuel Marqués-Sevillano, 2009. "Incertidumbre y el precio del riesgo en un proceso de convergencia nominal," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 451-489, octubre-d.
  • Handle: RePEc:cml:moneta:v:xxxii:y:2009:i:4:p:451-489
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    References listed on IDEAS

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    1. Raffaella Giacomini & Halbert White, 2006. "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, pages 1545-1578.
    2. Daniel Peña & Ismael Sánchez, 2007. "Measuring the Advantages of Multivariate vs. Univariate Forecasts," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 886-909, November.
    3. Raffaella Giacomini & Barbara Rossi, 2010. "Forecast comparisons in unstable environments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., pages 595-620.
    4. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    5. Tatevik Sekhposyan & Barbara Rossi, 2008. "Has modelsí forecasting performance for US output growth and inflation changed over time, and when?," Working Papers 09-02, Duke University, Department of Economics.
    6. Manzan, Sebastiano & Zerom, Dawit, 2008. "A bootstrap-based non-parametric forecast density," International Journal of Forecasting, Elsevier, pages 535-550.
    7. Corradi, Valentina & Swanson, Norman R., 2006. "Predictive density and conditional confidence interval accuracy tests," Journal of Econometrics, Elsevier, pages 187-228.
    8. Corradi, Valentina & Swanson, Norman R., 2006. "Predictive density and conditional confidence interval accuracy tests," Journal of Econometrics, Elsevier, pages 187-228.
    9. Alonso, Andrés M. & Peña, Daniel & Romo, Juan, 2003. "On sieve bootstrap prediction intervals," Statistics & Probability Letters, Elsevier, pages 13-20.
    10. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
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