Similar Search Results

Exploiting spillovers to forecast crashes

Gresnigt, Francine; Kole, Erik; Franses, Philip Hans - 2015

We develop Hawkes models in which events are triggered through self as well as cross-excitation. We examine whether incorporating cross-excitation improves the forecasts of extremes in asset returns compared to only self-excitation. The models are applied to US stocks, bonds and dollar exchange...

Persistent link: https://www.econbiz.de/10011376256

What drives the quotes of earnigns forecasters?

Bruijn, Bert de; Franses, Philip Hans - 2012

Persistent link: https://www.econbiz.de/10009723028

Interpreting financial market crashes as earthquakes : a new Early Warning System for medium term crashes

Gresnigt, Francine; Kole, Erik; Franses, Philip Hans - 2014

We propose a modeling framework which allows for creating probability predictions on a future market crash in the medium term, like sometime in the next five days. Our framework draws upon noticeable similarities between stock returns around a financial market crash and seismic activity around...

Persistent link: https://www.econbiz.de/10010358831

Dumping in a global world

Moraga-González, José Luis; Viaene, Jean-Marie - 2004

Anti-dumping actions are now the trade policy of choice of developing and transition economies. To understand why these economies have increasingly applied anti-dumping laws, we build a simple theoretical model of vertical intra-industry trade and investigate the strategic incentives of...

Persistent link: https://www.econbiz.de/10011342568

Short patches of outliers, ARCH and volatility modelling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998

Persistent link: https://www.econbiz.de/10000986130

How informative are the unpredictable components of earnings forecasts?

Bruijn, Bert de; Franses, Philip Hans - 2015

An analysis of about 300000 earnings forecasts, created by 18000 individual forecasters for earnings of over 300 S&P listed firms, shows that these forecasts are predictable to a large extent using a statistical model that includes publicly available information. When we focus on the...

Persistent link: https://www.econbiz.de/10010490078

Forecasting earnings forecasts

Bruijn, Bert de; Franses, Philip Hans - 2013

Persistent link: https://www.econbiz.de/10010191299

Heterogeneity in manufacturing growth risk

Opschoor, Daan; Dijk, Dick van; Franses, Philip Hans - 2021

We analyze output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multi-level quantile regression approach, we find strong heterogeneity in growth risk, particularly between the more vulnerable durable goods sector and the more resilient nondurable...

Persistent link: https://www.econbiz.de/10012510760

Economics: an emerging small world?

Goyal, Sanjeev; Leij, Marco van der; Moraga-González, … - 2003

This paper examines the small world hypothesis. The first part of the paper presents empirical evidence on the … evolution of a particular world: the world of journal publishing economists during the period 1970-2000. We find that in the … 1970's the world of economics was a collection of islands. Two decades later, in the 1990's the world of economics was much …

Persistent link: https://www.econbiz.de/10011334330

Economics : an emerging small world?

Goyal, Sanjeev; Leij, Marco van der; Moraga-González, … - 2004

Persistent link: https://www.econbiz.de/10001884023