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Oil Price Density Forecasts: Exploring the Linkages with Stock Markets

Lombardi, Marco J.; Ravazzolo, Francesco - 2012

In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices … various measures of correlation. Next, we assess to what extent correlations between oil and equity prices can be exploited … for asset allocation. We develop a time-varying Bayesian Dynamic Conditional Correlation model for volatilities and …

Persistent link: https://www.econbiz.de/10012143812

Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors

Fisher, Mark; Jensen, Mark J. - 2018

Change point models using hierarchical priors share in the information of each regime when estimating the parameter values of a regime. Because of this sharing, hierarchical priors have been very successful when estimating the parameter values of short-lived regimes and predicting the...

Persistent link: https://www.econbiz.de/10012030268

Climate alpha and the global capital market

Golub, Alexander; Anda, Jon; Markandya, Anil; Brody, Michael - 2022

The way in which climate policy and climate risks are currently accounted for in financial and real investment decisions is inadequate. The paper demonstrates weaknesses in methods presently used and proposes an alternative that aims to bridge the duration gap between climate policy modeling and...

Persistent link: https://www.econbiz.de/10013353589

A reality check on the GARCH-MIDAS volatility models

Virk, Nader; Javed, Farrukh; Awartani, Basel - 2021

We employ a battery of model evaluation tests for a broad-set of GARCH-MIDAS models and account for data snooping bias. We document that inferences based on standard tests for GM variance components can be misleading. Our data mining free results show that the gains of macro-variables in...

Persistent link: https://www.econbiz.de/10012654473

Hedging with commodity futures and the end of normal backwardation

Güntner, Jochen; Karner, Benjamin - 2020

Using the S&P GSCI and its five component sub-indices, we show that considering each commodity separately yields nontrivial hedging gains in and out of sample. During 1999-2019, the maximum Sharpe ratio portfolio assigns positive weights to the GSCI Energy, Industrial and Precious Metals,...

Persistent link: https://www.econbiz.de/10012662703

Market Belief, Trading Volume, Price Volatility, andLiquidity

Wang, Songtao - Swiss National Centre of Competence in Research North … - 2010

This paper studies the effects of investors’ heterogeneous beliefs on the trading volume,price volatility, and liquidity of stocks. Following Kurz and Motolese (2008), wepropose a simple theoretical model to show that the equilibrium stock price is linearlyand positively correlated with market...

Persistent link: https://www.econbiz.de/10009305076

Venture Capital and Growth of Young High-Tech Firms in the EU: A Systematic Review of the Empirical Evidence

Pantea, Smaranda; Tkacik, Marcel - 2021

This study contributes to the debate on VC-related policies that aim to support the growth of young high-tech firms in the EU. The study provides a systematic review of the results of 22 firm-level studies that estimate causal effects of VC using counterfactual impact evaluation methods and data...

Persistent link: https://www.econbiz.de/10014547808

Synergizing ventures

Akcigit, Ufuk; Dinlersoz, Emin Murat; Greenwood, Jeremy; … - 2019

Venture capital (VC) and growth are examined both empirically and theoretically. Empirically, VC-backed startups have higher early growth rates and initial patent quality than non-VC-backed ones. VC backing increases a startup's likelihood of reaching the right tails of the firm size and...

Persistent link: https://www.econbiz.de/10012389572

Empirical Probability Distributions of Real Return from Swedish Stock and Bond Portfolios

Graflund, Andreas - 2002

This paper introduces a new non-parametric approach to integrate empirical probability functions of the real return for different investment horizons for five portfolios of Swedish stocks and bonds. In our setting the problem reduces to generating new generalizations from an empirical Markov...

Persistent link: https://www.econbiz.de/10013208423

Simulación de la estructura temporal de tasas de interés: Una aplicación al cálculo de riesgo de tasas de interés

González, Mirta; Pérez, María Cecilia - 2015

Con el propósito de brindar una herramienta que permita una major gestión de riesgos y una adecuada regulación, en este trabajo se aplica una metodología para la medición de riesgo de tasa de interés. Luego de la estimación y simulación de la estructura temporal de tasas de interés se...

Persistent link: https://www.econbiz.de/10011716913

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