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Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to...

Persistent link: https://www.econbiz.de/10012756639

A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Baumeister, Christiane - 2016

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information … has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the … market expectation of the price of the underlying asset. Although this expectation in principle may be recovered by adjusting …

Persistent link: https://www.econbiz.de/10012996209

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

Asset Pricing Implications of a New Keynesian Model : A Note

Heer, Burkhard - 2013

De Paoli, Scott, and Weeken (2010, Asset pricing implications of a New Keynesian model. Journal of Economic Dynamics and Control 34, 2056-73) study equity and bonds prices in a New Keynesian model with sticky nominal prices. This note argues that their model generates a behavior of the labor...

Persistent link: https://www.econbiz.de/10013089158

Hybrid Historical Simulation VaR and ES : Performance in Developed and Emerging Markets

Zikovic, Sasa - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

Persistent link: https://www.econbiz.de/10013155427

Forecasting Exchange Rates : An Investor Perspective

Melvin, Michael - 2013

The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....

Persistent link: https://www.econbiz.de/10013081705

Assessing the Macroeconomic Forecasting Performance of Boosting - Evidence for the United States, the Euro Area, and Germany

Buchen, Teresa - 2013

The use of large datasets for macroeconomic forecasting has received a great deal of interest recently. Boosting is one possible method of using high-dimensional data for this purpose. It is a stage-wise additive modelling procedure, which, in a linear specification, becomes a variable selection...

Persistent link: https://www.econbiz.de/10013085278

The Yield Spread Puzzle and the Information Content of SPF Forecasts

Lahiri, Kajal - 2013

While the yield spread has long been recognized as a good predictor of recessions, it seems to have been largely overlooked by professional forecasters. We examine this puzzle, established by Rudebusch and Williams (2009), in a data-rich environment including not just the yield spread but many...

Persistent link: https://www.econbiz.de/10013090002

Forecasting the Brent Oil Price : Addressing Time-Variation in Forecast Performance

Manescu, Cristiana - 2017

This paper explores a range of different forecast methods for Brent oil prices and analyses their performance relative to oil futures and the random walk over the period 1995Q1-2015Q2, including periods of stable, upwardly trending and rapidly dropping oil prices. None of the individual methods...

Persistent link: https://www.econbiz.de/10012964616

Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle

Carstensen, Kai - 2017

We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent expansions, normal recessions and severe recessions. We show...

Persistent link: https://www.econbiz.de/10012955198

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