NUS Quantitative Finance Joint Seminar Series (Webinar)
NUS Quantitative Finance Joint Seminar Series (Webinar)
This webinar is jointly organised by Risk Management Institute and Centre for Quantitative Finance
Programme
Title: On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
Professor Francis X. Diebold (University of Pennsylvania)
Abstract: We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even the ex post best forecaster) are outperformed by our regularized mixtures. From the Great Recession onward, the optimal regularization tends to move density forecasts' probability mass from the centers to the tails, correcting for overconfidence. Link: arXiv:2012.11649
About the Speaker
Francis X. Diebold is Paul F. Miller, Jr. and E. Warren Shafer Miller Professor of Social Sciences, and Professor of Economics, Finance, and Statistics, University of Pennsylvania. He has held visiting appointments at Princeton, Chicago, Johns Hopkins, and NYU. His research focuses on predictive modeling of financial asset markets, macroeconomic fundamentals, and the interface. He has made well-known contributions to the measurement and modeling of asset-return volatility, business cycles, yield curves, and network connectedness. He has published more than 150 scientific papers and 8 books, and he is regularly ranked among globally most-cited economists. He is Founding Fellow and Past President, Society for Financial Econometrics; NBER Faculty Research Associate; Fellow, Econometric Society, American Statistical Association, Guggenheim Foundation, Sloan Foundation, Humboldt Foundation, Journal of Econometrics; Founding Fellow, International Association for Applied Econometrics, Society for Economic Measurement; Honorary Fellow, International Institute of Forecasters; and Past Editorial Board Member, Econometrica, Review of Economics and Statistics, and International Economic Review. His academic "family" includes more than 75 Ph.D. students.
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