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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
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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
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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
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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
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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
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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
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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
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Momentum Strategies
Chan, Louis K. C. - 1995
We relate the predictability of future returns from past returns to the market's underreaction to information, focusing on past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. There is little evidence of...
Persistent link: https://www.econbiz.de/10012473492
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Maximizing Predictability in the Stock and Bond Markets
Lo, Andrew W. - 1995
We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources...
Persistent link: https://www.econbiz.de/10012473866
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Valuation of Variance Forecast with Simulated Option Markets
Engle, Robert F. - 1990
An appropriate metric for the success of an algorithm to forecast the variance of the rate of return on a capital asset could be the incremental profit from substituting it for the next best alternative. We propose a framework to assess incremental profits for competing algorithms to forecast...
Persistent link: https://www.econbiz.de/10012475683