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Dividend growth predictability and the price-dividend ratio
Piatti, Ilaria; Trojani, Fabio - 2012 - This version: October 2012
Conventional tests of present-value models over-reject the null of no predictability. In order to better account for the intrinsic probability of detecting predictive relations by chance alone, we develop a new nonparametric Monte Carlo testing method, which does not rely on distributional...
Persistent link: https://www.econbiz.de/10009684124
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Identification and critical time forecasting of real estate bubbles in the USA and Switzerland
Ardila, Diego; Sanadgol, Dorsa; Cauwels, Peter; … - 2014
We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two … that the model is able to forecast the end of the bubbles and to identify variables highly relevant during the bubble …
Persistent link: https://www.econbiz.de/10010411858
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Deep learning for asset bubbles detection
Bashchenko, Oksana; Marchal, Alexis - 2020
We develop a methodology for detecting asset bubbles using a neural network. We rely on the theory of local martingales … the current estimator, obtaining an improved detection of bubbles. We show the outperformance of our algorithm over the … and build a zero net exposure trading strategy that exploits the risky arbitrage emanating from the presence of bubbles in …
Persistent link: https://www.econbiz.de/10012181227
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To see is to believe : common expectations in experimental asset markets
Cheung, Stephen L.; Hedegaard, Morten; Palan, Stefan - 2012
is as great as when training is absent. -- asset market experiment ; price bubbles ; common knowledge of rationality …
Persistent link: https://www.econbiz.de/10009631461
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Testing for threshold effect in ARFIMA models : application to US unemployment rate data
Lahiani, Amine; Scaillet, Olivier - 2008
Macroeconomic time series often involve a threshold effect in their ARMA representation, and exhibit long memory features. In this paper we introduce a new class of threshold ARFIMA models to account for this. The threshold effect is introduced in the autoregressive and/or the fractional...
Persistent link: https://www.econbiz.de/10003966199
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10009535779
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Testing dependence among serially correlated multi-category variables
Pesaran, M. Hashem (contributor);  … - 2006
The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies -- a problem that is particularly important in economics and...
Persistent link: https://www.econbiz.de/10003344606
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Trading while sleepy? : circadian mismatch and excess volatility in a global experimental asset market
Dickinson, David L.; Chaudhuri, Ananish; … - 2017
asset market bubbles occur in all sessions, but global markets had significantly more extreme and longer duration valuation … bubbles. Additionally, subjects at the most suboptimal times-of-day held significantly more asset shares in their portfolios …
Persistent link: https://www.econbiz.de/10011731909
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A higher-order correct fast moving-average bootstrap for dependent data
La Vecchia, Davide; Moor, Alban; Scaillet, Olivier - 2020
We develop theory of a novel fast bootstrap for dependent data. Our scheme deploys i.i.d. resampling of smoothed moment indicators. We characterize the class of parametric and semiparametric estimation problems for which the method is valid. We show the asymptotic re refinements of the new...
Persistent link: https://www.econbiz.de/10012179669
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Testing factor models when asset bubbles occur : a time-varying perspective
Yu, Lu; Li, Yanglin - In: Economic modelling 124 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014463291