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Didisheim, Antoine; Ke, Shikun; Kelly, Bryan T.; … - National Bureau of Economic Research - 2023

We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance--in terms of SDF Sharpe ratio and test asset pricing errors--is improving in model parameterization (or "complexity"). Our empirical findings verify the...

Persistent link: https://www.econbiz.de/10014372446

How and When are High-Frequency Stock Returns Predictable?

Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

Persistent link: https://www.econbiz.de/10013362020

What are the main factors driving behind the MENA countries current account deficit? : A panel logit approach analysis

Guellil, Mohammed Seghir; Hassoun, Salah Eddine Sari; … - In: Revista de métodos cuantitativos para la economía y … 33 (2022), pp. 134-153

The sustained current account deficit in any country has an important implication for policy. If it continues, then it suggests that the regime ought to have no motivation to avoid or to diminish its international debt. In this paper, we test empirically the relationship among current account...

Persistent link: https://www.econbiz.de/10013337861

Sparse Signals in the Cross-Section of Returns

Chinco, Alex - 2017

How do arbitrageurs find variables that predict returns? If a predictor lasts 30 days or more, then a clever arbitrageur can use his intuition to get the job done. But, what's an arbitrageur supposed to do if a predictor lasts 30 minutes or less? An arbitrageur's intuition is useless if the...

Persistent link: https://www.econbiz.de/10012971759

Predicting the spread of financial innovations : an epidemiological approach

Hull, Isaiah - 2013

I construct an estimable statistic that predicts whether a financial innovation will spread. The approach embeds the multi-host SIR model from epidemiology within a financial model of correlated securities trade; and takes advantage of the related predictive tools from mathematical epidemiology,...

Persistent link: https://www.econbiz.de/10010202945

Frontiers in time series and financial econometrics : an overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015

Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial … econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics … Econometrics" is to highlight several areas of research by leading academics in which novel methods have contributed significantly …

Persistent link: https://www.econbiz.de/10010484894

Panel data analysis

Yıldırım, Hasan Huseyin - In: Handbook of research on emerging theories, models, and …, (pp. 375-396). 2021

data using econometric methods. Financial econometrics is the application of statistical methods to financial sector data …

Persistent link: https://www.econbiz.de/10012604281

Forecasting the Equity Risk Premium with Frequency-Decomposed Predictors

Faria, Gonçalo - 2017

We show that the out-of-sample forecast of the equity risk premium can be significantly improved by taking into account the frequency-domain relationship between the equity risk premium and several potential predictors. We consider fifteen predictors from the existing literature, for the...

Persistent link: https://www.econbiz.de/10012963436

A comparison of the long term interdependence of southeast asian equity markets

Raisul, Islam - In: Journal of East Asian economic integration 18 (2014) 2, pp. 187-212

The purpose of this paper is to examine the equity market crisis contagion in major Asian economic markets. A comparative assessment of Asian markets during the Asian Financial Crisis and Global Financial crisis may clearly identify the changing nature of long term integration of major Asian...

Persistent link: https://www.econbiz.de/10011568346

Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary

Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513

This article aims at verifying if there has been a structural change in the co-movement pattern of selected Central and Eastern Europe (CEE) over the ten-year period following the financial crisis. The empirical results confirmed that such a change was observed both in the correlation and...

Persistent link: https://www.econbiz.de/10011874650

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