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Prediction and identification in two-sided markets

Boik, Andre - 2018

answers and can be used to estimate market power and pass through rates. I show that even a naive one-sided model that ignores …

Persistent link: https://www.econbiz.de/10011789113

Predictability of asset returns and the efficient market hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10003983206

A general approach to recovering market expectations from futures prices with an application to crude oil

Baumeister, Christiane; Kilian, Lutz - 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....

Persistent link: https://www.econbiz.de/10011434566

Forecasting interval-valued crude oil prices using asymmetric interval models

Lu, Quanying; Sun, Yuying; Hong, Yongmiao; Wang, Shouyang - In: Quantitative finance 22 (2022) 11, pp. 2047-2061

Persistent link: https://www.econbiz.de/10013490921

Size and power in tests of return predictability

LeRoy, Stephen F.; Singhania, Rish - In: Quantitative finance 22 (2022) 6, pp. 1153-1167

Persistent link: https://www.econbiz.de/10013367890

Building daily economic sentiment indicators

Rey del Castillo, Pilar - 2022

The availability of copious amounts of data produced by the increasing datification of our society is nowadays deemed an opportunity to produce timely and convenient statistical information. This paper shows the building of economic sentiment indexes from the texts of the most read economic...

Persistent link: https://www.econbiz.de/10013453734

Forecastability and statistical characteristics of aggregate oil and gas investments on the Norwegian Continental Shelf

Lorentzen, Sindre; Osmundsen, Petter - 2016

We investigate the potential for statistical forecasting of aggregate oil and gas investment on the Norwegian … random walk benchmark in an out-of-sample environment. Second, lags of investment growth, crude oil price growth and realized … volatility is found to be adequate predictors for the investment growth. Finally, there is a clear benefit from re-estimating the …

Persistent link: https://www.econbiz.de/10011544319

[Sigma] : the long and short of it

Chirinko, Robert S. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003641757

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003641741

Banking crises and crisis dating : theory and evidence

Boyd, John H.; De Nicolò, Gianni; Loukoianova, Elena - 2010

We formulate a simple theoretical model of a banking industry that we use to identify and construct theory …

Persistent link: https://www.econbiz.de/10003994497

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