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Should Faustmann forecast climate change?
Gars, Johan; Spiro, Daniel - 2019
Climate change is predicted to substantially alter forest growth. Optimally, forest owners should take these future changes into account when making rotation decisions today. However, the fundamental uncertainty surrounding climate change makes predicting these shifts hard. Hence, this paper...
Persistent link: https://www.econbiz.de/10012015877
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Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US
Haase, Felix; Neuenkirch, Matthias - 2021
-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …
Persistent link: https://www.econbiz.de/10012416151
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Application of stochastic optimal control to financial market debt crises
Stein, Jerome L. - 2009
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10003807893
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Forecasting Euro area real GDP : optimal pooling of information
Hülsewig, Oliver (contributor); Mayr, Johannes (contributor) - 2008
modeling, we construct the area-wide indicators by utilizing weights that minimize the variance of the out-of-sample forecast … errors of the area-wide target variable. In an out-of-sample forecast experiment we find that our optimal pooling of … information approach outperforms alternative forecasting methods in terms of forecast accuracy. -- Forecasting ; aggregation …
Persistent link: https://www.econbiz.de/10003749431
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Assets returns volatility and investment horizon : the french case
Bec, Frédérique; Gollier, Christian - 2009
This paper explores French assets returns predictability within a VAR setup. Using quarterly data from 1970Q4 to 2006Q4, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment horizon does indeed matter in the asset allocation. The...
Persistent link: https://www.econbiz.de/10003833321
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Tenure choice, portfolio structure and long-term care : optimal risk management in retirement
Fehr, Hans; Hofmann, Maurice - 2019
We study the interplay between tenure decisions, stock market investment and the public social security system. Housing equity not only serves a dual purpose as a consumption good and as an asset, but also provides insurance to buffer various risks in retirement. Our life cycle model captures...
Persistent link: https://www.econbiz.de/10012050806
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Risk-taking-neutral background risk
Franke, Günter; Schlesinger, Harris; Stapleton, Richard C. - 2013
We define a class of risk-taking-neutral (RTN) background risks. These background risks have the property that they will not alter decisions made with respect to another risk, for individuals with HARA utility. If we wish to compare a decision made with and without some exogenous background...
Persistent link: https://www.econbiz.de/10009690709
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Decomposing the disposition effect
Maier, Johannes K.; Fischer, Dominik Simon - 2021
We theoretically show that there is a fundamental disconnect between the disposition effect, i.e., investors’ tendency to sell winning assets too early and losing assets too late, and its common empirical measure, namely a positive difference between the proportion of gains and losses...
Persistent link: https://www.econbiz.de/10012628736
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Inside the crystal ball : new approaches to predicting the gasoline price at the pump
Baumeister, Christiane; Kilian, Lutz; Lee, Thomas - 2016
the no-change forecast. Our key finding is that substantial reductions in the mean-squared prediction error (MSPE) of … greater reductions in MSPEs are possible by constructing a pooled forecast that assigns equal weight to five of the most …
Persistent link: https://www.econbiz.de/10011429580
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Forecast uncertainties in macroeconometric modelling : an application to the UK economy
Pesaran, M. Hashem - 2000
This paper argues that probability forecasts convey information on the uncertainties that surround macroeconomic forecasts in a manner which is straightforward and which is preferable to other alternatives, including the use of confidence intervals. Probability forecasts relating to UK output...
Persistent link: https://www.econbiz.de/10009781626