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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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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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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
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Asset pricing with arbitrage activity
Hugonnier, Julien; Prieto, Rodolfo - 2013
We study an economy populated by three groups of logarithmic agents: Constrained agents subject to a portfolio constraint that limits their risk-taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to uncollateralized credit. Such credit...
Persistent link: https://www.econbiz.de/10010257492
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Measuring house price bubbles
Bourassa, Steven C.; Hoesli, Martin; Oikarinen, Elias - 2016
measure house price bubbles. We use an asset pricing approach to identify bubble periods retrospectively and then compare … ability to identify bubbles as they form. In view of the complexity of the asset pricing approach, we conclude that a simple …
Persistent link: https://www.econbiz.de/10011514230
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Testing the stochastic disorder model on stock markets
Sokko, Anastasiia - 2017
This paper examines real-time applications of quickest disorder detection techniques for timing stock markets. The focus is on the stochastic disorder model by Shiryaev, Zhitlukhin, and Ziemba (2014, 2015), Zhitlukhin and Ziemba (2016) and their optimal stopping rule. The model uses sequential...
Persistent link: https://www.econbiz.de/10011875860
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The impact of news on higher moments
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...
Persistent link: https://www.econbiz.de/10003394353