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On the Trend Recognition and Forecasting Ability of Professional Traders
Glaser, Markus; Langer, Thomas; Weber, Martin - Universität <Mannheim> / Lehrstuhl für Allgemeine … - 2007
Empirical research documents that temporary trends in stock pricemovements exist. Moreover, riding a trend can be a profitable investment strategy. (...)
Persistent link: https://www.econbiz.de/10005844860
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Non-Linear Predictability in Stock and Bond Returns:When and Where Is It Exploitable?
Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - Manchester Business School - 2008
-linear effects is of extremeimportance to improve forecasting performance. U.S. and U.K. asset return data are “special” in thesense …
Persistent link: https://www.econbiz.de/10005870517
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How informative are macroeconomicrisk forecasts?An examination of the Bank of England’sinflation forecasts
Knüppel, Malte; Schultefrankenfeld, Guido - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
Macroeconomic risk assessments play an important role in the forecasts of manyinstitutions. However, to the best of our knowledge their performance has notbeen investigated yet. In this work, we study the Bank of England’s risk forecastsfor inflation. We find that these forecasts do not...
Persistent link: https://www.econbiz.de/10005866177
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Comparing the DSGE modelwith the factor model:an out-of-sample forecasting experiment
Wang, Mu-Chun - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic …
Persistent link: https://www.econbiz.de/10005866191
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The Economic and Statistical Value of Forecast Combinations under Regime Switching: An Application to Predictable US Returns
Guidolin, Massimo; Fangzhou Na, Carrie - Manchester Business School - 2007
flexible regime switching VAR framework — in which the presence of regimes may lead to superior forecasting performance from … forecast combinations. After having documented that forecast combinations provide gains in prediction accuracy and these gains … best-performing forecast combinations are those that either avoid estimating the pooling weights or that minimize the need …
Persistent link: https://www.econbiz.de/10005870160
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Improving predictive validity of choice-based conjoint models
Natter, Martin; Feurstein, Markus - 2000
This paper measures the performance of a Latent Class CBC model with aggregate real world scanning data.
Persistent link: https://www.econbiz.de/10005841648
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The Characteristics of Individual Analysts' Forecasts in Europe
Bolliger, Guido - 2001
This paper investigates the determinants of European financial analysts' forecasts differential accuracy.
Persistent link: https://www.econbiz.de/10005843252
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Who Are The Best? Local Versus Foreign Analysts on the Latin American Stock Markets
Bacmann, Jean-François; Bolliger, Guido - 2003
This paper investigates the relative performance of local and foreign financial analysts on Latin American emerging markets.
Persistent link: https://www.econbiz.de/10005843437
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Time-Varying Betas and Cross-Sectional Return-Risk Relation : Evidence form the UK
Fraser, Patricia; Hamelink, Foort; Hoesli, Martin; … - Université <Genève> / Section des Hautes Etudes … - 2000
The seminal study by Fama and MacBeth (1973) initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate wether beta is a valid measure of risk has been renimated by Fama and French (1992) and subsequent studies.(...)
Persistent link: https://www.econbiz.de/10005843529
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Non-linear versus non-gaussian volatility models in application to different financial markets
Miazhynskaia, Tatiana; Dorffner, Georg; Dockner, … - 2003
We used neural-network based modelling to generalize the linear econometric return models and compare their out-of-sample predictive ability in terms of different performance measures under three density specifications.(...)
Persistent link: https://www.econbiz.de/10005844728