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An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data
Hodrick, Robert J. - 2020
Baxter and King (1999), and the H filter of Hamilton (2018) that are designed to decompose a univariate time series into … trend and cyclical components. Each simulated time series approximates the natural logarithms of U.S. Real GDP, and they are … stochastic trends and definitive cyclical components. In basic time series, the H filter dominates the HP and BK filters in more …
Persistent link: https://www.econbiz.de/10012841423
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Operational Time and Seasonality in Distributed Lag Estimation
Clark, Peter - 2021
The following paper discusses the analysis of some types of economic time series using an altered time scale, or … operational time. It is argued that for some series, observations that are ordinarily thought of as equidistant in time are … actually irregularly spaced in a more natural time scale. Section A discusses point or impulse sampling of related series and …
Persistent link: https://www.econbiz.de/10013217235
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Decomposing the U.S. External Returns Differential
Curcuru, Stephanie E. - 2010
We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...
Persistent link: https://www.econbiz.de/10013152498
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Evaluating Value Weighting : Corporate Events and Market Timing
Lamont, Owen A. - 2002
time-varying weight in new lists, and one can decompose the market return into a fixed weight return plus a timing return …
Persistent link: https://www.econbiz.de/10012787155
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Volatility Managed Portfolios
Moreira, Alan - 2016
average returns. This rules out typical risk-based explanations and is a challenge to structural models of time …
Persistent link: https://www.econbiz.de/10012993228
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Econometric Models of Limit-Order Executions
Lo, Andrew W.; Mackinlay, A. Craig; Zhang, June - 2021
This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...
Persistent link: https://www.econbiz.de/10013248406
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Valuation of Variance Forecast with Simulated Option Markets
Engle, Robert F. - 2010
An appropriate metric for the success of an algorithm to forecast the variance of the rate of return on a capital asset could be the incremental profit from substituting it for the next best alternative. We propose a framework to assess incremental profits for competing algorithms to forecast...
Persistent link: https://www.econbiz.de/10013138666
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What Do We Really Know About the Cross-Sectional Relation between Past and Expected Returns?
Grinblatt, Mark - 2014
Multihorizon temporal relationships between stock returns are complex due to confounding sources of return premia, microstructure effects, and changes in the relationship over various horizons. We find the relation to be further complicated by the sign and consistency of the past return that...
Persistent link: https://www.econbiz.de/10012752800
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Quantifying International Production Sharing at the Bilateral and Sector Levels
Wang, Zhi - 2013
This paper generalizes the gross exports accounting framework, initially proposed by Koopman, Wang, and Wei (2014) for a country's aggregate exports, to one at the sector, bilateral, and bilateral-sector levels. Such a generalization requires a conceptual distinction between value added exports...
Persistent link: https://www.econbiz.de/10013072571
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Decomposing Medical-Care Expenditure Growth
Dunn, Abe - 2017
Medical-care expenditures have been rising rapidly, accounting for over 17 percent of GDP in 2012. In this study, we assess the sources of the rising medical-care expenditures in the commercial sector. We employ a novel framework for decomposing expenditure growth into four components at the...
Persistent link: https://www.econbiz.de/10012963765