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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

This study examines the forecastability of ASEAN-5 stock market returns using linear and non-linear time series models. Time series models with GARCH errors are also considered. Based on formal econometrics tests, this study shows that the behaviour of these returns do not follow random walk...

Persistent link: https://www.econbiz.de/10005076958

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 …

Persistent link: https://www.econbiz.de/10005125064

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 … traditional NN models, a further set of NN models will be developed in this paper, incorporating Genetic Algorithm (GA) techniques …

Persistent link: https://www.econbiz.de/10005134566

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 …

Persistent link: https://www.econbiz.de/10005134650

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

Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability

Rossi, Barbara - EconWPA - 2005

fundamentals: a random walk forecasts future exchange rates better than existing macroeconomic models. This paper applies newly …

Persistent link: https://www.econbiz.de/10005062396

Forecasting the Manhattan office market with a simultaneous equation model

Fuerst, Franz - EconWPA - 2004

applied in this paper. The first stage incorporates the office space market in terms of occupied space and absorption of new …

Persistent link: https://www.econbiz.de/10005062516

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 information about party, key issues, the economy, war, incumbency, region, and trends over time. Standard econometric methods are then used to determine how much weight should be...

Persistent link: https://www.econbiz.de/10005062661

Forecasting in Continuous Double Auction

Smid, Martin - EconWPA - 2005

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 of the paper is an approximate formula for the distribution of …

Persistent link: https://www.econbiz.de/10005407942

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 …

Persistent link: https://www.econbiz.de/10005407963