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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
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
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
moments of the wealth distribution such as its skewness and kurtosis. Time-variations in investment opportunities are …
Persistent link: https://www.econbiz.de/10002977388
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
Persistent link: https://www.econbiz.de/10001650402
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
persistent decline in investment. Moreover, the territorial dispute has led to persistent pessimism in these firms' expectations … about future sales, which can explain 60% of the overall decline in investment. …
Persistent link: https://www.econbiz.de/10011756135
Persistent link: https://www.econbiz.de/10003641757
Persistent link: https://www.econbiz.de/10000126763