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STOCK MARKET VALUATION IN THE UNITED STATES
BISCIARI, Patrick; DURRE, Alain; NYSSENS, Alain - EconWPA - 2003
This paper gives an overview of some issues related to market aluation, focusing on the developments on the New York equity markets. The 42.4 p.c. fall in the S&P 500 price index between 24 March 2000 - when it reached its all-time high - and 31 December 2002 is situated in a very long term...
Persistent link: https://www.econbiz.de/10005125064
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ON THE FORECASTABILITY OF ASEAN-5 STOCK MARKETS RETURNS USING TIME SERIES MODELS
Liew, Khim-Sen; Lim, Kian-Ping; Choong, Chee-Keong - EconWPA - 2003
series models, both linear and non-linear, have smaller out-of-sample forecast errors than the random walk model. These two …
Persistent link: https://www.econbiz.de/10005076958
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Forecasting Regional Employment in Germany by Means of Neural Networks and Genetic Algorithms
Patuelli, Roberto; Longhi, Simonetta; Reggiani, Aura; … - EconWPA - 2005
The aim of this paper is to develop and apply Neural Network (NN) models in order to forecast regional employment …
Persistent link: https://www.econbiz.de/10005134566
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APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES
Guida, Tony; Matringe, Olivier - EconWPA - 2005
This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare … different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to … that no real “model leader” was found in this sample of commodities. Finally increased forecast performance is not solely …
Persistent link: https://www.econbiz.de/10005134650
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Proxying for Expected Returns with Price Earnings Ratios
Hansen, Charlotte S.; Tuypens, Bjorn E. - EconWPA - 2004
ratio when forecasting long-run returns. The empirical results for the S&P 500 show the superiority of our approach to …
Persistent link: https://www.econbiz.de/10005134659
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Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability
Rossi, Barbara - EconWPA - 2005
because the relationship is unstable over time and, thus, difficult to capture by Granger Causality tests or by forecast …
Persistent link: https://www.econbiz.de/10005062396
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Forecasting the Manhattan office market with a simultaneous equation model
Fuerst, Franz - EconWPA - 2004
In order to explore the predictability of the Manhattan office market, a three-stage simultaneous equation model is applied in this paper. The first stage incorporates the office space market in terms of occupied space and absorption of new space. The second stage captures the adjustment of...
Persistent link: https://www.econbiz.de/10005062516
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Review of Steven J. Rosenstone, Forecasting Presidential Elections (published by Yale University Press, New Haven, CT, 1983))
Armstrong, J. S. - EconWPA - 2005
Rosenstone develops a causal model to forecast political voting. The model seems reasonable; for example, it includes …
Persistent link: https://www.econbiz.de/10005062661
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Forecasting in Continuous Double Auction
Smid, Martin - EconWPA - 2005
Recently, the continuous double auction, i.e. the trading mechanism used in the majority of the financial markets, is the subject of an extensive study. In the present paper, a model of the continuous double auction with the completely random flow of the limit orders is studied. The main result...
Persistent link: https://www.econbiz.de/10005407942
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One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -
Kaiser, Thomas - EconWPA - 1996
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
Persistent link: https://www.econbiz.de/10005407963