Hypernormal Densities

UCSD, Economics Working Paper No. 2002-14, Universitat Pompeu Fabra Working Paper No

42 Pages Posted: 17 Dec 2002

See all articles by Raffaella Giacomini

Raffaella Giacomini

University College London - Department of Economics; University of California, Los Angeles - Department of Economics

Andreas Gottschling

Banking Consultants and Systems GmbH

Christian Haefke

Institute for Advanced Studies (IHS); NYU, Abu Dhabi; IZA Institute of Labor Economics

Halbert L. White, Jr.

University of California, San Diego (UCSD) - Department of Economics

Date Written: September 2002

Abstract

We propose a new family of density function that posses both flexibility and closed form expressions for moments and anti-derivatives, making them particularly appealing for applications. We illustrate its usefulness by applying our new family to obtain density forecasts of U.S. inflation. Our methods generate forecasts that improve on standard methods based on AR-ARCH models relying on normal or Student's t-distributional assumptions.

Keywords: ARMA-GARCH models, Neutral Networks, Nonparametric Density Estimation, Forecast Accuracy

JEL Classification: C63, C53, C45

Suggested Citation

Giacomini, Raffaella and Gottschling, Andreas and Haefke, Christian and White, Halbert L., Hypernormal Densities (September 2002). UCSD, Economics Working Paper No. 2002-14, Universitat Pompeu Fabra Working Paper No, Available at SSRN: https://ssrn.com/abstract=340700 or http://dx.doi.org/10.2139/ssrn.340700

Raffaella Giacomini (Contact Author)

University College London - Department of Economics ( email )

Gower Street
London WC1E 6BT, WC1E 6BT
United Kingdom

University of California, Los Angeles - Department of Economics ( email )

405 Hilgard Avenue
Box 951361
Los Angeles, CA 90095-1361
United States

Andreas Gottschling

Banking Consultants and Systems GmbH ( email )

D-60528 Frankfurt
Germany

Christian Haefke

Institute for Advanced Studies (IHS) ( email )

Josefstädter Straße 39
1080 Vienna
Austria

NYU, Abu Dhabi ( email )

PO Box 129188
Abu Dhabi
United Arab Emirates

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

Halbert L. White

University of California, San Diego (UCSD) - Department of Economics ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
858-534-3502 (Phone)
858-534-7040 (Fax)

HOME PAGE: http://www.econ.ucsd.edu/~mbacci/white/

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