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Pricing of idiosyncratic equity and variance risks

Gourier, Elise - 2016

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of the variance of idiosyncratic returns. The estimation is...

Persistent link: https://www.econbiz.de/10011410917

Tests of conditional predictive ability : some simulation evidence

McCracken, Michael W. - 2019

In this note we provide simulation evidence on the size and power of tests of predictive ability described in Giacomini and White (2006). Our goals are modest but non-trivial. First, we establish that there exist data generating processes that satisfy the null hypotheses of equal finite-sample...

Persistent link: https://www.econbiz.de/10011998061

An empirical investigation of direct and iterated multistep conditional forecasts

McCracken, Michael W.; McGillicuddy, Joseph - 2017

When constructing unconditional point forecasts, both direct- and iterated-multistep (DMS and IMS) approaches are common. However, in the context of producing conditional forecasts, IMS approaches based on vector autoregressions (VAR) are far more common than simpler DMS models. This is despite...

Persistent link: https://www.econbiz.de/10011782870

Tests of conditional predictive ability : a comment

McCracken, Michael W. - 2019

We investigate a test of equal predictive ability delineated in Giacomini and White (2006; Econometrica). In contrast to a claim made in the paper, we show that their test statistic need not be asymptotically Normal when a fixed window of observations is used to estimate model parameters. An example...

Persistent link: https://www.econbiz.de/10012064875

A trend deduction model of fluctuating oil prices

Xu, Haiyan; Zhang, ZhongXiang - 2011 - The previous version: August 19, 2010, This version: November 17, 2010

Crude oil prices have been fluctuating over time and by a large range. It is the disorganization of oil price series that makes it difficult to deduce the changing trends of oil prices in the middle- and long-terms and predict their price levels in the short-term. Following a price-state...

Persistent link: https://www.econbiz.de/10008903424

US interest rates : are relations stable?

Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024

estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …

Persistent link: https://www.econbiz.de/10014490330

VAR models with fat tails and dynamic asymmetry

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2024

In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized …

Persistent link: https://www.econbiz.de/10015084442

Bayesian predictive distributions of oil returns using mixed data sampling volatility models

Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …

Persistent link: https://www.econbiz.de/10014252427

On the dynamics of asset prices

Estola, Matti; Hokkanen, Veli-Matti - 1998

Persistent link: https://www.econbiz.de/10000991025

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Persistent link: https://www.econbiz.de/10001650402