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Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2008

We extend the VAR based intertemporal asset allocation approach from Campbell et al. (2003) to the case where the VAR parameter estimates are adjusted for small-sample bias. We apply the analytical bias formula from Pope (1990) using both Campbell et al.'s dataset, and an extended dataset with...

Persistent link: https://www.econbiz.de/10005440049

TOPSIS model based on entropy and similarity measure for market segment selection and evaluation

Truong Thi Thuy Duong; Nguyễn-Xuân-Thao - In: Asian journal of economics and banking : AJEB 5 (2021) 2, pp. 194-203

dealing with multi-criteria decision- making problem. Design/methodology/approach - Introducing a multi-criteria decision … criteria. Originality/value - This paper put forward an effective multi-criteria decision-making dealing with uncertain …

Persistent link: https://www.econbiz.de/10012695173

The impact of foreign capital shifts on economic activities and asset prices : a threshold VAR approach

Baba, Boubekeur; Sevil, Güven - In: Asian journal of economics and banking : AJEB 4 (2020) 3, pp. 87-104

Purpose - The purpose of this paper is to investigate the impact of foreign capital shifts on economic activities and asset prices in South Korea. Design/methodology/approach - The authors in this paper apply the Bayesian threshold vector autoregressive (TVAR) model to estimate the regimes of...

Persistent link: https://www.econbiz.de/10012515007

Housing market volatility in the OECD area: Evidence from VAR based return decompositions

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2013

Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash ?ow (rent) news and discount rate (return) news. Only for two countries - Germany and Ireland - do changing expectations of future rents play a dominating role in explaining housing return...

Persistent link: https://www.econbiz.de/10010851224

Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2012

We investigate the predictive power of the rent-to-price ratio for future real estate returns and rent growth in 18 OECD countries over the period 1970 to 2011. First, we document that in most countries returns are signi?cantly predictable by the rent-price ratio. An increase (decrease) in the...

Persistent link: https://www.econbiz.de/10010851254

High-frequency CSI300 futures trading volume predicting through the neural network

Xu, Xiaojie; Zhang, Yun - In: Asian journal of economics and banking : AJEB 8 (2024) 1, pp. 26-53

Purpose - For policymakers and participants of financial markets, predictions of trading volumes of financial indices are important issues. This study aims to address such a prediction problem based on the CSI300 nearby futures by using high-frequency data recorded each minute from the launch...

Persistent link: https://www.econbiz.de/10014497016

The dividend-price ratio does predict dividend growth: International evidence

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2009

Unpredictable dividend growth by the dividend-price ratio is considered a 'stylized fact' in post war US data. Using long-term data, covering more than 80 years from the US and three European countries, we revisit this stylized fact, and we also report results on return predictability. We find...

Persistent link: https://www.econbiz.de/10005037431

Pitfalls in VAR based return decompositions: A clarification

Engsted, Tom; Pedersen, Thomas Q.; Tanggaard, Carsten - School of Economics and Management, University of Aarhus - 2010

Based on Chen and Zhao's (2009) criticism of VAR based return decompositions, we explain in detail the various limitations and pitfalls involved in such decompositions. First, we show that Chen and Zhao's interpretation of their excess bond return decomposition is wrong: the residual component...

Persistent link: https://www.econbiz.de/10008602580

So how to make group decisions? : arrow's impossibility theorem 70 years after

Nguyen, Hung T.; Kosheleva, Olga; Kreinovich, Vladik - In: Asian journal of economics and banking : AJEB 5 (2021) 3, pp. 226-233

Purpose - In 1951, Kenneth Arrow proved that it is not possible to have a group decision-making procedure that … is that different seemingly reasonable idea often lead to different group decision - this is known, e.g. for different … voting schemes. Design/methodology/approach - In this paper we analyze this problem from the viewpoint of decision theory …

Persistent link: https://www.econbiz.de/10012695181

Gain-probability diagrams as an alternative to significance testing in economics and finance

Trafimow, David; Wang, Ziyuan; Tong, Tingting; Wang, Tonghui - In: Asian journal of economics and banking : AJEB 7 (2023) 3, pp. 333-357

provide a completely new way to traverse the distance from data to decision-making implications. …

Persistent link: https://www.econbiz.de/10014445518