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Markov Forecasting Methods for Welfare Caseloads

Grogger, Jeffrey - 2005

Forecasting welfare caseloads, particularly turning points, has become more important than ever. Since welfare reform, welfare has been funded via a block grant, which means that unforeseen changes in caseloads can have important fiscal implications for states. In this paper I develop forecasts...

Persistent link: https://www.econbiz.de/10012466994

Can the Markov Switching Model Forecast Exchange Rates?

Engel, Charles - 1992

A Markov-switching model is fit for eighteen exchange rates at quarterly and monthly frequencies. This model fits well in-sample at the quarterly frequency for many exchange rates. By the mean-squared-error or mean-absolute-error criterion. the Markov model does not generate superior forecasts...

Persistent link: https://www.econbiz.de/10012474755

Risks and Returns of Cryptocurrency

Liu, Yukun - 2018

We establish that the risk-return tradeoff of cryptocurrencies (Bitcoin, Ripple, and Ethereum) is distinct from those … of stocks, currencies, and precious metals. Cryptocurrencies have no exposure to most common stock market and … returns. Finally, we create an index of exposures to cryptocurrencies of 354 industries in the US and 137 industries in China …

Persistent link: https://www.econbiz.de/10012452844

A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market

Turner, Christopher M. - 1989

Risk premia in the stock market are assumed to move with time varying risk. We present a model in which the variance of time excess return of a portfolio depends on a state variable generated by a first-order Markov process. A model in which the realization of the state is known to economic...

Persistent link: https://www.econbiz.de/10012476239

Dynamic Trading Strategies and Portfolio Choice

Bansal, Ravi - 2004

Traditional mean-variance efficient portfolios do not capture the potential wealth creation opportunities provided by predictability of asset returns. We propose a simple method for constructing optimally managed portfolios that exploits the possibility that asset returns are predictable. We...

Persistent link: https://www.econbiz.de/10012467869

Momentum Trading, Return Chasing, and Predictable Crashes

Chabot, Benjamin - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies -- momentum. We find that momentum has earned abnormally high risk-adjusted returns -- a...

Persistent link: https://www.econbiz.de/10012458005

A Model of Momentum

Liu, Laura Xiaolei - 2011

Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...

Persistent link: https://www.econbiz.de/10012461911

Economic Tracking Portfolios

Lamont, Owen - 1999

An economic tracking portfolio is a portfolio of assets with returns that track an economic variable. Monthly returns on stocks and bonds are useful in forecasting post-war US output, consumption, labor income, inflation, stock returns, bond returns, and Treasury bill returns. These forecasting...

Persistent link: https://www.econbiz.de/10012471746

How Relevant is Volatility Forecasting for Financial Risk Management?

Christoffersen, Peter F. - 1998

It depends. If volatility fluctuates in a forecastable way, then volatility forecasts are useful for risk management; hence the interest in volatility forecastability in the risk management literature. Volatility forecastability, however, varies with horizon, and different horizons are relevant...

Persistent link: https://www.econbiz.de/10012471968

Implied Volatility Functions : Empirical Tests

Dumas, Bernard - 1996

Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is...

Persistent link: https://www.econbiz.de/10012473359