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A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Baumeister, Christiane - 2016
has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for … the measurement of oil price shocks …
Persistent link: https://www.econbiz.de/10012996209
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Assessing the Macroeconomic Forecasting Performance of Boosting - Evidence for the United States, the Euro Area, and Germany
Buchen, Teresa - 2013
to the fit. Using data for the United States, the euro area and Germany, we assess the performance of boosting when …
Persistent link: https://www.econbiz.de/10013085278
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Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns
Hoffmann, Mathias - 2021
Small businesses tend to be owned by wealthy households. Such entrepreneur households also own a large share of U.S. stock market wealth. Fluctuations in entrepreneurs' hunger for risk could therefore help explain time variation in the equity premium. The paper suggests an entrepreneurial...
Persistent link: https://www.econbiz.de/10013317587
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Forecasting Tail Risks
De Nicolo, Gianni - 2015
Reliable early warning signals are essential for timely implementation of macroeconomic and macro-prudential policies. This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial (systemic) risks. Forecasts are obtained from: (a)...
Persistent link: https://www.econbiz.de/10013024363
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The Role of the Log Transformation in Forecasting Economic Variables
Luetkepohl, Helmut - 2009
For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the...
Persistent link: https://www.econbiz.de/10012764276
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Why Does Idiosyncratic Risk Increase with Market Risk
Bartram, Söhnke M. - 2017
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10012950299
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A Large-Scale Field Experiment to Evaluate the Effectiveness of Paid Search Advertising
Coviello, Lorenzo - 2017
Companies spend billions of dollars online for paid links to branded search terms. Measuring the effectiveness of this marketing spending is hard. Blake, Nosko and Tadelis (2015) ran an experiment with eBay, showing that when the company suspended paid search, most of the traffic still ended up...
Persistent link: https://www.econbiz.de/10012944620
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A Rise By Any Other Name? Sensitivity of Growth Regressions to Data Source
Hanousek, Jan - 2008
Measured rates of growth in real per capita income differ drastically depending on the data source. This phenomenon occurs largely because data sets differ in whether and how they adjust for changes in relative prices across countries. Replication of several recent studies of growth determinants...
Persistent link: https://www.econbiz.de/10012773476
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Measurement Error in Education and Growth Regressions
Portela, Miguel - 2008
The perpetual inventory method used for the construction of education data per country leads to systematic measurement … error. This paper analyses the effect of this measurement error on GDP regressions. There is a systematic difference in the … the measurement error. The standard attenuation bias suggests that using these corrected data would lead to a higher …
Persistent link: https://www.econbiz.de/10012774497
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Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle
Carstensen, Kai - 2017
for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent …
Persistent link: https://www.econbiz.de/10012955198