Narrow search
Showing 1 - 10 of 57,408
Cover Image
On the Evolutionary Stability of Rational Expectations
Parke, William R.; Waters, George A. - 2011
Evolutionary game theory provides a fresh perspective on the prospects that agents with heterogeneous expectations might eventually come to agree on a single expectation corresponding to the efficient markets hypothesis. We establish conditions where agreement on a unique forecast is stable, but...
Persistent link: https://www.econbiz.de/10009351490
Cover Image
An Evolutionary Game Theory Explanation of ARCH Effects
Parke, William R - 2017
While ARCH/GARCH equations have been widely used to model financial market data, formal explanations for the sources of … conditional volatility are scarce. This paper presents a model with the property that standard econometric tests detect ARCH … expectations are the driving force leading to the appearance of ARCH/GARCH in the data …
Persistent link: https://www.econbiz.de/10012947305
Cover Image
On the Evolutionary Stability of Rational Expectations
Parke, William R - 2017
Evolutionary game theory provides a fresh perspective on the prospects that agents with heterogeneous expectations might eventually come to agree on a single expectation corresponding to the efficient markets hypothesis. We establish conditions where agreement on a unique forecast is stable, but...
Persistent link: https://www.econbiz.de/10012947307
Cover Image
Equilibrium selection under different learning modes in supermodular games
Kaarbøe, Oddvar M.; Tieman, Alexander F. - 1999
We apply the dynamic stochastic framework proposed by recent evolutionaryliterature to the class of strict supermodular games when two simplebehavior rules coexist in the population, imitation and myopic optimization.We assume that myopic optimizers are able to see how well their payoff...
Persistent link: https://www.econbiz.de/10011302143
Cover Image
The variance risk premium and fundamental uncertainty
Conrad, Christian; Stürmer, Karin - 2015 - This version: February 24, 2015
We propose a new measure of the expected variance risk premium that is based on a forecast of the conditional variance from a GARCH-MIDAS model. We find that the new measure has strong predictive ability for future U.S. aggregate stock market returns and rationalize this result by showing that...
Persistent link: https://www.econbiz.de/10010484829
Cover Image
The law of one price in equity volatility markets
Van Tassel, Peter - 2020
This paper documents law of one price violations in equity volatility markets. While tightly linked by no-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static arbitrage opportunities occur when the prices of VIX...
Persistent link: https://www.econbiz.de/10012391498
Cover Image
Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility
Cakmakli, Cem; van Dijk, Dick - 2010
This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...
Persistent link: https://www.econbiz.de/10010326025
Cover Image
Sentiment dynamics and stock returns: the case of the German stock market
Lux, Thomas - 2008
We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors' mood and subsequent stock price changes. In contrast to extant literature for other countries, a tri-variate vector autoregression for short-run...
Persistent link: https://www.econbiz.de/10010263537
Cover Image
Getting the most out of macroeconomic information for predicting stock returns and volatility
Çakmaklı, Cem; Dijk, Dick van - 2010
This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...
Persistent link: https://www.econbiz.de/10011382428
Cover Image
Return Predictability under Equilibrium Constraints on the Equity Premium
Pettenuzzo, Davide; Timmermann, Allan G.; Valkanov, … - Department of Economics, International Business School, … - 2008
This paper proposes a new approach for incorporating theoretical constraints on return forecasting models such as non-negativity of the conditional equity premium and sign restrictions on the coefficients linking state variables to the equity premium. Our approach makes use of Bayesian methods...
Persistent link: https://www.econbiz.de/10009293724