Showing 1 - 10 of 104
that forecasting behavior systematically deviates from normative predictions: Forecasters overreact to forecast errors in …
Persistent link: https://www.econbiz.de/10010990449
We integrate a case-based model of probability judgment with prospect theory to explore asset pricing under uncertainty. Research within the "heuristics and biases" tradition suggests that probability judgments respond primarily to case-specific evidence and disregard aggregate characteristics...
Persistent link: https://www.econbiz.de/10010990558
In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of...
Persistent link: https://www.econbiz.de/10010886225
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011272575
returns and intradaily squared returns for forecasting horizons rangingfrom 1 to 10 days. For the daily squared returns we …
Persistent link: https://www.econbiz.de/10011255461
In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector …
Persistent link: https://www.econbiz.de/10011256058
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011256164
explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …
Persistent link: https://www.econbiz.de/10005016264
This paper presents a new technique for forecasting frequencies of events over time for individuals. The technique …
Persistent link: https://www.econbiz.de/10009208983
A quadratic model for production-inventory planning was made famous by Holt, Modigliani, Muth, and Simon in 1960 in (Holt, C. C., F. Modigliani, J. F. Muth, H. A. Simon. 1960. Planning Production, Inventories, and Work Force. Prentice-Hall, Englewood Cliffs, New Jersey.), especially for its...
Persistent link: https://www.econbiz.de/10009209094