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A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market

Graflund, Andreas - 2000

In this paper we use a Bayesian approach to test for mean reversion in the Swedish stock market on monthly data 1918-1998. By simply account for the heteroscedasticty of the data with a two state hidden Markov model of normal distributions and taking estimation bias into account via Gibbs...

Persistent link: https://www.econbiz.de/10013208407

Are the Nordic Stock Markets Mean Reverting?

Graflund, Andreas - 2001

In this paper we test for mean reversion in the Nordic stock markets using monthly nominal data 1947-1998. By simply account for the heteroscedasticity of the data with a regime-switching model of normal distributions and taking estimation bias into account via a Bayesian approach we can find no...

Persistent link: https://www.econbiz.de/10013208422

Exchange rates and fundamentals: A generalization

Nason, James M.; Rogers, John H. - 2008

Exchange rates have raised the ire of economists for more than 20 years. The problem is that few, if any, exchange rate models are known to systematically beat a naive random walk in out of sample forecasts. Engel and West (2005) show that these failures can be explained by the standard-present...

Persistent link: https://www.econbiz.de/10010292311

Random Walk Expectations and the Forward Discount Puzzle

Bacchetta, Philippe; van Wincoop, Eric - 2007

Two well-known, but seemingly contradictory, features of exchange rates are that they are close to a random walk while at the same time exchange rate changes are predictable by interest rate differentials. In this paper we investigate whether these two features of the data may in fact be...

Persistent link: https://www.econbiz.de/10011430066

Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration

Dezhbakhsh, Hashem; Levy, Daniel C. - 2022

The U.S. prewar output series exhibit smaller shock-persistence than postwar-series. Some studies suggest this may be due to linear interpolation used to generate missing prewar data. Monte Carlo simulations that support this view generate large standard-errors, making such inference imprecise....

Persistent link: https://www.econbiz.de/10014304175

A runs test for stock-market prices with an unobserved trend

Herger, Nils - 2024

To analyze whether stock-market prices follow a random walk, the algebraic sign of their returns has been compared with a coin toss, which is a prominent example for a Bernoulli trial with equiprobable outcomes. Like coin tosses, signed returns lend themselves for a simple runs test for...

Persistent link: https://www.econbiz.de/10014476407

Forecasting China's economic growth and inflation

Higgins, Patrick; Zha, Tao; Zhong, Karen - 2016

Although macroeconomic forecasting forms an integral part of the policymaking process, there has been a serious lack of rigorous and systematic research in the evaluation of out-of-sample modelbased forecasts of China's real gross domestic product (GDP) growth and consumer price index inflation....

Persistent link: https://www.econbiz.de/10011776817

Modelling the yield curve: A two components approach

Hatgioannides, John; Karanasos, Menelaos; Karanassou, Marika - 2004

Using parametric return autocorrelation tests and non parametric variance ratio statistics show that the UK and US short-term interest rates are unit root processes with significant mean reverting components. Congruent with this empirical evidence, we develop a new continuous time term structure...

Persistent link: https://www.econbiz.de/10010284146

Conventional and unconventional approaches to exchange rate modeling and assessment

Alquist, Ron; Chinn, Menzie D. - 2006

We examine the relative predictive power of the sticky price monetary model, uncovered interest parity, and a transformation of the net exports variable. In addition to bringing a new approach (utilizing our measure of external imbalance suggested by Gourinchas and Rey) and data spanning a more...

Persistent link: https://www.econbiz.de/10010285332

Instrumental variable estimation with heteroskedasticity and many instruments

Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2010

allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standard errors that … are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic … homoskedasticity, and have much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. …

Persistent link: https://www.econbiz.de/10010277529