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1
Estimation of Multivariate Probit Models Via Bivariate Probit
Mullahy, John
-
2015
Models having multivariate probit and related structures arise often in applied health economics. When the outcome dimensions of such models are large, however, estimation can be challenging owing to numerical computation constraints and/or speed. This paper suggests the utility of estimating...
Persistent link: https://www.econbiz.de/10013014663
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2
Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
Froot, Kenneth
-
2004
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012786275
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3
Interpretable Asset Markets?
Bansal, Ravi
-
2010
In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are predicted by valuation ratios at long horizons. Further we document that asset valuations drop as economic uncertainty rises that is, financial markets dislike economic...
Persistent link: https://www.econbiz.de/10012762886
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4
Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph
-
2010
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012763325
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5
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Campbell, John Y.
-
2010
A linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log real dividend changes and future real discount rates. This relation can be tested using vector...
Persistent link: https://www.econbiz.de/10012763389
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6
Maximizing Predictability in the Stock and Bond Markets
Lo, Andrew W.
-
2010
We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources...
Persistent link: https://www.econbiz.de/10012763656
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7
Simple Forecasts and Paradigm Shifts
Hong, Harrison G.
-
2009
done better over the same period. This
theory
makes several distinctive predictions, which, for concreteness, we develop in … a stock-market setting. For example, starting with symmetric and homoskedastic fundamentals, the
theory
yields …
Persistent link: https://www.econbiz.de/10012767724
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8
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
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9
The Variance Risk Premium in Equilibrium Models
Bekaert, Geert
;
Engstrom, Eric
;
Ermolov, Andrey
-
2022
The equity variance risk premium is the expected compensation earned for selling variance risk in equity markets. The variance risk premium is positive and shows moderate persistence. High variance risk premiums coincide with the left tail of the consumption growth distribution shifting down....
Persistent link: https://www.econbiz.de/10013307734
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10
A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series
Stock, James H.
;
Watson, Mark W.
-
2021
A forecasting comparison is undertaken in which 49 univariate forecasting methods, plus various forecast pooling procedures, are used to forecast 215 U.S. monthly macroeconomic time series at three forecasting horizons over the period 1959 - 1996. All forecasts simulate real time implementation,...
Persistent link: https://www.econbiz.de/10013218715
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