are, according to the discount dividend model, annual earnings and, according to Q-theory, net worth. In December 2002 …

rate forecasting--in term of out- of-sample forecasting, for all the forecast horizons ranging from one to fourteen … forecasting models as they easily outperform the simple random walk model--which is rarely defeated in the literature of exchange … quarters. This study provides us with some hope of achieving a reasonable forecast for the ASEAN currencies using the …

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 …

volatility, and the specification of the volatility process itself. Our estimation of a variety of model specifications indicates …

We consider the hedging of options when the price of the underlying asset is always exposed to the possibility of jumps … hedge in the presence of jumps cannot be improved upon by increasing the rebalancing frequency. In contrast, the superior … empirical support for the existence of jumps of random size in the movement of the S&P 500 index. We also find that the …

series models, both linear and non-linear, have smaller out-of-sample forecast errors than the random walk model. These two …

The aim of this paper is to develop and apply Neural Network (NN) models in order to forecast regional employment …