Narrow search
Showing 1 - 10 of 339
Cover Image
Who Times the Foreign Exchange Market? : Corporate Speculation and CEO Characteristics
Alessandro, Beber; Fabbri, Daniela - Institut für Schweizerisches Bankwesen <Zürich> - 2005
price volatility. …
Persistent link: https://www.econbiz.de/10005858767
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Random Walk Expectations and the Forward Discount Puzzle
Bacchetta, Philippe; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2007
Two well-known, but seemingly contradictory, features of exchange rates are thatthey are close to a random walk while at the same time exchange rate changesare predictable by interest rate differentials. In this paper we investigate whetherthese two features of the data may in fact be related....
Persistent link: https://www.econbiz.de/10005858209
Cover Image
Multi-Currency Quadratic Models : Theory and Evidence
Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
evidence on classic forecasting regressions based on various forms of expectation hypotheses (EH), but also accommodates rich …
Persistent link: https://www.econbiz.de/10005858853
Cover Image
Do Dollar Forecasters Believe too Much in PPP?
Menkhoff, Lukas; Rebitzky, Rafael R.; Schroeder, Michael - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2005
This paper extends earlier studies on exchange rate expectations' formation by using newdata and adding information about forecasters' reliance on fundamental analysis for the firsttime. We replicate the conventional result of non rational expectations. Moreover, biases inexpectations are...
Persistent link: https://www.econbiz.de/10005867586