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Forecasting exchange rates : an investor perspective

Melvin, Michael; Prins, John; Shand, Duncan - 2013

perspective, a particular approach to quantitative modeling is presented that incorporates return forecasts, a risk model, and a …

Persistent link: https://www.econbiz.de/10009743826

Variable selection and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...

Persistent link: https://www.econbiz.de/10003807908

Monetary policy and the stock market : time-series evidence

Neuhierl, Andreas; Weber, Michael - 2016

We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...

Persistent link: https://www.econbiz.de/10011566444

Elusive safety : the new geography of capital flows and risk

Alfaro, Laura; Faia, Ester; Judson, Ruth A.; … - 2020

dollar-denominated securities are increasingly inter-mediated by tax havens ﬁnancial centers (THFC) and by less regulated … funds. These securities are risky and respond to tax rates and prudential regulations, suggesting tax avoidance and … sector and increased with quantitative easing policies. Facts on the privately held securities are rationalized through a …

Persistent link: https://www.econbiz.de/10012210945

Proprietary income, entrepreneurial risk, and the predictability of US stock returns

Hoffmann, Mathias (contributor) - 2006

Persistent link: https://www.econbiz.de/10003363972

Does U.S. monetary policy respond to macroeconomic uncertainty?

Gomez, Thomas; Piccillo, Giulia - 2023

We find that macroeconomic uncertainty plays a significant role in U.S. monetary policy. First, we construct a measure of uncertainty as felt by policymakers at the time of making their rate-setting decisions. This measure is derived from a real-time, Bayesian estimation of a small monetary VAR...

Persistent link: https://www.econbiz.de/10014265941

High-dimensional forecasting with known knowns and known unknowns

Pesaran, M. Hashem; Smith, Ron - 2024

Forecasts play a central role in decision making under uncertainty. After a brief review of the general issues, this paper considers ways of using high-dimensional data in forecasting. We consider selecting variables from a known active set, known knowns, using Lasso and OCMT, and approximating...

Persistent link: https://www.econbiz.de/10014469011

Robust bond risk premia

Bauer, Michael D.; Hamilton, James D. - 2015 - Rev.: September 25, 2015

unspanned macro risk. …

Persistent link: https://www.econbiz.de/10011346306

Dynamics of subjective risk premia

Nagel, Stefan; Xu, Zhengyang - 2022

We examine subjective risk premia implied by return expectations of individual investors and professionals for … excess returns suggest that objective risk premia vary countercyclically with business cycle variables and aggregate asset … valuation measures, subjective risk premia extracted from survey data do not comove much with these variables. This lack of …

Persistent link: https://www.econbiz.de/10013176923

Abnormal returns and stock price movements : some evidence from developed and emerging markets

Caporale, Guglielmo Maria; Plastun, Alex - 2020

This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some developed (US, UK, Japan) and emerging (China, India) markets over the period 01.01.2010-01.01.2020. Average analysis, t-tests, CAR and trading simulation methods are used to test the...

Persistent link: https://www.econbiz.de/10012390869