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Disagreement and Biases in Inflation Expectations
Capistrán, Carlos; Timmermann, Allan - Society for Computational Economics - SCE - 2006
Recent empirical work documents substantial disagreement in inflation expectations obtained from survey data … current inflation. This paper offers a simple explanation for these facts based on asymmetries in the forecasters' costs of … over- and under-predicting inflation. Our model implies biased forecasts with positive serial correlation in forecast …
Persistent link: https://www.econbiz.de/10005537424
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Forecasts of Us Short-Term Interest Rates : A Flexible Forecast Combination Approach
Guidolin, Massimo - 2007
This paper develops a flexible approach to combine forecasts of future spot rates with forecasts from time-series models or macroeconomic variables. We find empirical evidence that accounting for both regimes in interest rate dynamics and combining forecasts from different models helps improve...
Persistent link: https://www.econbiz.de/10012732061
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Size and Value Anomalies under Regime Shifts
Guidolin, Massimo - 2007
This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio and portfolios tracking size- and value effects. Mean returns, volatilities and correlations between these equity portfolios are found to be driven by underlying regimes that...
Persistent link: https://www.econbiz.de/10012732150
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International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences
Timmermann, Allan - 2007
This paper proposes a new tractable approach to solving asset allocation problems in situations with a large number of risky assets which pose problems for standard approaches. Investor preferences are assumed to be defined over moments of the wealth distribution such as its mean, variance, skew...
Persistent link: https://www.econbiz.de/10012732152
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Term Structure of Risk Under Alternative Econometric Specifications
Guidolin, Massimo - 2007
This paper characterizes the term structure of risk measures such as Value at Risk (VaR) and expected shortfall under different econometric approaches including multivariate regime switching, GARCH-in-mean models with student-t errors, two-component GARCH models and a non-parametric bootstrap....
Persistent link: https://www.econbiz.de/10012732256
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Asset Allocation Under Multivariate Regime Switching
Guidolin, Massimo - 2006
This paper studies asset allocation decisions in the presence of regime switching in asset returns. We find evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states - are required to capture the joint distribution of stock and bond returns. Optimal...
Persistent link: https://www.econbiz.de/10012732700
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An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns
Guidolin, Massimo - 2005
This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four state model with...
Persistent link: https://www.econbiz.de/10012737299
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Forecasts of Us Short-Term Interest Rates : a Flexible Forecast Combination Approach
Timmermann, Allan - 2008
This paper develops a flexible approach to combine forecasts of future spot rates with forecasts from time-series models or macroeconomic variables. We find empirical evidence that accounting for both regimes in interest rate dynamics and combining forecasts from different models helps improve...
Persistent link: https://www.econbiz.de/10012773586
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Term Structure of Risk Under Alternative Econometric Specifications
Guidolin, Massimo - 2006
This paper characterizes the term structure of risk measures such as Value at Risk (VaR) and expected shortfall under different econometric approaches including multivariate regime switching, GARCH-in-mean models with student-t errors, two-component GARCH models and a non-parametric bootstrap....
Persistent link: https://www.econbiz.de/10012783789
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An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns
Guidolin, Massimo - 2006
This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four state model with...
Persistent link: https://www.econbiz.de/10012783810