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We re-examine predictability of US stock returns. Theoretically well-founded models predict that stationary combinations of I (1) variables such as the dividend or earnings to price ratios or the consumption/asset/income relationship often known as CAY may predict returns. However, there is...
Persistent link: https://www.econbiz.de/10013308248
forecast performance of a model can potentially incur important policy costs. Commonly used statistical procedures, however … forecast breakdowns in small samples. We develop a procedure which aims at capturing the policy cost of missing a break. We use … can result from a break going undetected for too long. In so doing, we also explicitly study forecast errors as a …
Persistent link: https://www.econbiz.de/10012921528
forecast performance of a model can potentially incur important policy costs. Commonly used statistical procedures, however … forecast breakdowns in small samples. We develop a procedure which aims at capturing the policy cost of missing a break. We use … can result from a break going undetected for too long. In so doing, we also explicitly study forecast errors as a …
Persistent link: https://www.econbiz.de/10011928906
recent break tends to produce more accurate forecasts than unconditional estimation methods based on expanding or rolling …
Persistent link: https://www.econbiz.de/10013322730
The online Supplement presents the proof the auxiliary Lemmas 1-6, the entire set of tables with results from the Monte Carlo and the empirical studies, and further discussion on selected topics.Full paper is available at: 'https://ssrn.com/abstract=2707176' https://ssrn.com/abstract=2707176
Persistent link: https://www.econbiz.de/10012968328
Vector Autoregressive Moving Average (VARMA) models. We overcome the estimation issue that arises with this class of models …
Persistent link: https://www.econbiz.de/10012970411
Persistent link: https://www.econbiz.de/10012878864
Persistent link: https://www.econbiz.de/10014450259
this paper, we propose to forecast exchange rates with a large Bayesian VAR (BVAR), using a panel of 33 exchange rates vis … produces systematically better forecasts than a random walk for most of the countries, and at any forecast horizon, including …
Persistent link: https://www.econbiz.de/10003765975
conditions index adds further forecast power, while third factors have a mixed effect on performance. The FCIs are used to …
Persistent link: https://www.econbiz.de/10012948001