Narrow search
Showing 1 - 10 of 142
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Combining German macro economic forecasts using rank-based techniques
Klapper, Matthias - 1998
Persistent link: https://www.econbiz.de/10000672969
Cover Image
Business cycle prediction using support vector methods
Vogtländer, Kai; Weihs, Claus - 2000
business phase switches. Finally, the classification power of the Support Vector Method and of Linear Discriminant Analysis are …. On the other hand, the classification power of the Support Vector Method was distinctly better than with Linear …
Persistent link: https://www.econbiz.de/10009783553
Cover Image
Combining German macro economic forecasts using rank-based techniques
Klapper, Matthias - 1998
Persistent link: https://www.econbiz.de/10010467711
Cover Image
Has the accuracy of German macroeconomic forecasts improved?
Heilemann, Ullrich; Stekler, Herman O. - 2003
The major focus of this paper is to determine whether the accuracy of German macroeconomic forecasts has improved over time. We examine 1-year-ahead forecasts of real GDP and inflation for 1967 to 2001 made by three major German forecasting groups and the OECD. We examine the accuracy of the...
Persistent link: https://www.econbiz.de/10010509825
Cover Image
Business cycle prediction using support vector methods
Vogtländer, Kai; Weihs, Claus - 2000
Persistent link: https://www.econbiz.de/10001522625
Cover Image
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