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Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts

Andersen, Torben G. - 2008

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...

Persistent link: https://www.econbiz.de/10012774886

Effects of Index-Fund Investing on Commodity Futures Prices

Hamilton, James D. - 2014

The last decade brought substantial increased participation in commodity markets by index funds that maintain long positions in the near futures contracts. Policy makers and academic studies have reached sharply different conclusions about the effects of these funds on commodity futures prices....

Persistent link: https://www.econbiz.de/10013059085

Dynamic Prediction Pools : An Investigation of Financial Frictions and Forecasting Performance

Del Negro, Marco - 2014

We provide a novel methodology for estimating time-varying weights in linear prediction pools, which we call Dynamic Pools, and use it to investigate the relative forecasting performance of DSGE models with and without financial frictions for output growth and inflation from 1992 to 2011. We...

Persistent link: https://www.econbiz.de/10013045643

The Predictive Ability of Several Models of Exchange Rate Volatility

West, Kenneth D.; Cho, Dongchul - 2021

We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more...

Persistent link: https://www.econbiz.de/10013225431

Box Office Buzz : Does Social Media Data Steal the Show from Model Uncertainty When Forecasting for Hollywood?

Lehrer, Steven F. - 2016

Substantial excitement currently exists in industry regarding the potential of using analytic tools to measure sentiment in social media messages to help predict individual reactions to a new product, including movies. However, the majority of models subsequently used for forecasting exercises...

Persistent link: https://www.econbiz.de/10012976985

Does High Frequency Social Media Data Improve Forecasts of Low Frequency Consumer Confidence Measures?

Lehrer, Steven F. - 2019

Social media data presents challenges for forecasters since one must convert text into data and deal with issues related to these measures being collected at different frequencies and volumes than traditional financial data. In this paper, we use a deep learning algorithm to measure sentiment...

Persistent link: https://www.econbiz.de/10012858409

The Bigger Picture : Combining Econometrics with Analytics Improve Forecasts of Movie Success

Lehrer, Steven F. - 2018

There exists significant hype regarding how much machine learning and incorporating social media data can improve forecast accuracy in commercial applications. To assess if the hype is warranted, we use data from the film industry in simulation experiments that contrast econometric approaches...

Persistent link: https://www.econbiz.de/10012916165

Modeling and Forecasting Realized Volatility

Andersen, Torben G. - 2002

and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic …

Persistent link: https://www.econbiz.de/10012787458

The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors

Clarida, Richard - 2010

We present theory and evidence that challenges the view that forward premia contain little information regarding …

Persistent link: https://www.econbiz.de/10012763403

What Explains the Lagged Investment Effect?

Eberly, Janice C. - 2011

The best predictor of current investment at the firm level is lagged investment. This lagged-investment effect is … empirically more important than the cash-flow and Q effects combined. We show that the specification of investment adjustment … costs proposed by Christiano, Eichenbaum and Evans (2005) predicts the presence of a lagged-investment effect and that a …

Persistent link: https://www.econbiz.de/10013128270

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