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Forecasting High-Frequency Volatility Shocks : An Analytical Real-Time Monitoring System
Kömm, Holger - 2016 - 1st ed. 2016
This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing...
Persistent link: https://www.econbiz.de/10014018810
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Predictability of the Swiss Stock Market with Respect to Style
Scheurle, Patrick - 2010
Literature Review -- Return Predictability and the Real Economy -- Study Design and Data -- Empirical Part I - Testing for Predictability -- Forecasting Models -- Empirical Part II - Investment Strategies -- Conclusion
Persistent link: https://www.econbiz.de/10013522809
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Introduction to Financial Forecasting in Investment Analysis
Guerard, Jr., John B. - 2013
Chapter 1: Why do we forecast? -- Chapter 2: Regression Analysis and Forecasting Models -- Chapter 3: An Introduction to Time Series Modeling and Forecasting -- Chapter 4: Regression Analysis and Multicollinearity: Two Case Studies -- Chapter 5: Multiple Time Series Analysis and Causality...
Persistent link: https://www.econbiz.de/10014016420
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The Power of Profit : Business and Economic Analyses, Forecasting, and Stock Valuation
Anari, Ali - 2010
their predictions of future stock market values? How can government improve macroeconomic forecasts and policies? In The …-specified model grounded in microeconomic theory. Filling this gap, the authors present a profit system model of the firm grounded in …
Persistent link: https://www.econbiz.de/10013522725
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Real Estate Risk in Equity Returns : Empirical Evidence from U.S. Stock Markets
Michel, Gaston (contributor) - 2009
Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross-sectional variation in equity returns. He shows that an...
Persistent link: https://www.econbiz.de/10013521240
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Hidden Collective Factors in Speculative Trading : A Study in Analytical Economics
Roehner, Bertrand M. - 2009
This volume explores the changes in speculative trading in the United States to provide an understanding of the present … economic crisis. Readers will find a unified mathematical theory of speculation and new chapters that discuss neoliberalism …
Persistent link: https://www.econbiz.de/10013522903
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Predicting Stock Returns : Implications for Asset Pricing
McMillan, David G. - 2018
This book provides a comprehensive analysis of asset price movement. It examines different aspects of stock return predictability, the interaction between stock return and dividend growth predictability, the relationship between stocks and bonds, and the resulting implications for asset price...
Persistent link: https://www.econbiz.de/10012397752
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Selected Essays in Empirical Asset Pricing : Information Incorporation at the Single-Firm, Industry, and Cross-Industry Level
Funke, Christian (contributor) - 2008
Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (MA) for stock prices and examines economic links between...
Persistent link: https://www.econbiz.de/10013521045
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Performance Analysis of Closed Queueing Networks
Lagershausen, Svenja - 2013
1. Introduction -- 2. Closed Queueing Networks -- 3. Literature Review -- 4. Decomposition Approach -- 5. Markov-chain Approach -- 6. Distribution of the Time between Processing Starts -- 7. Conclusion
Persistent link: https://www.econbiz.de/10014552591
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Markov Chains : Models, Algorithms and Applications
Ching, Wai-Ki - 2013 - 2nd ed. 2013
relationship between Markov chains of finite states and matrix theory will also be highlighted. Some classical iterative methods …. Chapter 1 gives a brief introduction to the classical theory on both discrete and continuous time Markov chains. The … predictions, inventory control and financial risk measurement are also presented. In Chapter 7, a class of parsimonious …
Persistent link: https://www.econbiz.de/10014016579