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Testing for predictability in a noninvertible ARMA model
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - Volkswirtschaftliche Fakultät, … - 2012
We develop likelihood-based tests for autocorrelation and predictability in a first order non- Gaussian and noninvertible ARMA model. Tests based on a special case of the general model, referred to as an all-pass model, are also obtained. Data generated by an all-pass process are uncorrelated...
Persistent link: https://www.econbiz.de/10009652927
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Timing asset market peaks: the role of the liquidity risk cycle of the banking system
Weber, Patrick - Volkswirtschaftliche Fakultät, … - 2012
Recent financial crisis showed how the unfolding of liquidity risks of financial intermediaries spilled over to asset markets, contributing to asset price deteriorations and the triggering of liquidity spirals. This paper derives and tests a financial fragility condition for predicting asset...
Persistent link: https://www.econbiz.de/10009421991
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Using sentiment to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647230
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Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology
Cayton, Peter Julian A.; Mapa, Dennis S. - Volkswirtschaftliche Fakultät, … - 2012
Stylized facts on financial time series data are the volatility of returns that follow non-normal conditions such as … of modeling with the Johnson distribution are introduced: joint estimation of the volatility and two-step procedure where … estimation of the volatility is separate from the estimation of higher parameters. The procedures were demonstrated on Philippine …
Persistent link: https://www.econbiz.de/10009647299
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Using sentiment surveys to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647399
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Burnout from pools to loans: Modeling refinancing prepayments as a self-selection process
Gan, Jumwu - Volkswirtschaftliche Fakultät, … - 2009
In this paper we present compelling evidence from a detailed analysis of historical prepayment data to demonstrate that a mortgage cohort remembers the level of the previous mortgage rate troughs experienced by the cohort. This is a general property, observed ubiquitously, that inescapably leads...
Persistent link: https://www.econbiz.de/10005668404
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Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model
Todd, Prono - Volkswirtschaftliche Fakultät, … - 2010
Efficient GMM estimation of the semi-strong GARCH(1,1) model requires simultaneous estimation of the conditional third and fourth moments. This paper proposes a simple alternative to efficient GMM based upon the unconditional skewness of residuals and the autocovariances of squared residuals. An...
Persistent link: https://www.econbiz.de/10008543477
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Estimating Value-at-Risk (VaR) using TiVEx-POT Models
Mapa, Dennis S.; Cayton, Peter Julian; Lising, Mary Therese - Volkswirtschaftliche Fakultät, … - 2009
Financial institutions hold risks in their investments that can potentially affect their ability to serve their clients. For banks to weigh their risks, Value-at-Risk (VaR) methodology is used, which involves studying the distribution of losses and formulating a statistic from this distribution....
Persistent link: https://www.econbiz.de/10008685553
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Can financial ratios predict the Malaysian stock return?
Lee, Chin; Lee, Weng Hong - Volkswirtschaftliche Fakultät, … - 2008
The purpose of this paper is to use the dividend yield (DY), earning to price ratio (EP), and capital gain (CG) to predict the Malaysia stock market return from 1995 to 2005 by using the time series regression. We utilize both the univariate and multivariate Ordinary Least Square (OLS)...
Persistent link: https://www.econbiz.de/10011112294
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A P* Model of Inflation in Puerto Rico
Rodríguez, Carlos A. - Volkswirtschaftliche Fakultät, … - 2004
One can analyze and forecast the inflationary potential in the Puerto Rican economy using the “P* model.” Given the nature of the monetary sector in Puerto Rico (PR), the model is put into the context of variables from the mainland United States (US). The results indicate a long-run...
Persistent link: https://www.econbiz.de/10011259136