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Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - 2014
We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional … correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables … (historical and forecasts) and the lagged realized correlation itself. Macro-finance variables and the lagged realized correlation …
Persistent link: https://www.econbiz.de/10013208704
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Economic value of modeling the joint distribution of returns and volatility: Leverage timing
Çakmaklı, Cem; Öztürk, Verda - 2021
We propose a joint modeling strategy for timing the joint distribution of the returns and their volatility. We do this by incorporating the potentially asymmetric links into the system of 'independent' predictive regressions of returns and volatility, allowing for asymmetric cross-correlations,...
Persistent link: https://www.econbiz.de/10012628462
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Dividend momentum and stock return predictability: A Bayesian approach
Antolín-Díaz, Juan; Petrella, Ivan; Rubio-Ramírez, … - 2021
A long tradition in macro finance studies the joint dynamics of aggregate stock returns and dividends using vector autoregressions (VARs), imposing the cross-equation restrictions implied by the Campbell-Shiller (CS) identity to sharpen inference. We take a Bayesian perspective and develop...
Persistent link: https://www.econbiz.de/10012819002
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Investment decisions under uncertainty
Sen, Sunanda - 2018
uncertainty." The methodological issues, as can be pointed out, are relevant in the context of policy issues and social …
Persistent link: https://www.econbiz.de/10012142965
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Is the currency risk priced in equity markets?
Giurda, Francesco; Tzavalis, Elias - 2004
In this paper we investigate whether the currency risk is priced in international stock markets. We suggest a … that the currency risk is priced in international stock markets, once asymmetries in volatility are taken into account. The …
Persistent link: https://www.econbiz.de/10010284112
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The anatomy of out-of-sample forecasting accuracy
Borup, Daniel; Goulet Coulombe, Philippe; Rapach, David E. - 2022
We develop metrics based on Shapley values for interpreting time-series forecasting models, including "black-box" models from machine learning. Our metrics are model agnostic, so that they are applicable to any model (linear or nonlinear, parametric or nonparametric). Two of the metrics,...
Persistent link: https://www.econbiz.de/10014278179
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Bayesian semiparametric multivariate GARCH modeling
Jensen, Mark J.; Maheu, John M. - 2012
This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature, the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given...
Persistent link: https://www.econbiz.de/10010292242
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Estimating a semiparametric asymmetric stochastic volatility model with a dirichlet process mixture
Jensen, Mark J.; Maheu, John M. - 2012
uncertainty. Nested model comparisons and out-of-sample predictions with the cumulative marginal-likelihoods, and one …
Persistent link: https://www.econbiz.de/10010292350
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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep; Swanson, Norman R. - 2013
evidence on the predictive content of realized measures of jump power variations (including upside and downside risk, jump …
Persistent link: https://www.econbiz.de/10010334248
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Choosing the best volatility models: The model confidence set approach
Hansen, Peter Reinhard; Lunde, Asger; Nason, James M. - 2003
This paper applies the Model Confidence Set (MCS) procedure of Hansen, Lunde, and Nason (2003) to a set of volatility models. A MCS is analogous to confidence interval of a parameter in the sense that the former contains the best forecasting model with a certain probability. The key to the MCS...
Persistent link: https://www.econbiz.de/10010318935