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Interpreting prediction market prices as probabilities

Wolfers, Justin; Zitzewitz, Eric - 2006

While most empirical analysis of prediction markets treats prices of binary options as predictions of the probability …

Persistent link: https://www.econbiz.de/10010267377

Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts

Benavides, Guillermo; Capistrán, Carlos - 2009

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...

Persistent link: https://www.econbiz.de/10010322599

A high-low model of daily stock price ranges

Cheung, Yan-Leung; Cheung, Yin-Wong; Wan, Alan Tze Kin - 2008

We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...

Persistent link: https://www.econbiz.de/10010277079

The Forecasting Performance of German Stock Option Densities

Keller, Joachim; Glatzer, Ernst; Craig, Ben R.; … - 2003

strong negative skewness in the densities. Second, we find evidence for significant differences between the actual density …

Persistent link: https://www.econbiz.de/10010295765

Forecasting the price of crude oil via convenience yield predictions

Knetsch, Thomas A. - 2006

The paper develops an oil price forecasting technique which is based on the present value model of rational commodity pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield which can be derived from the cost-of-carry relationship. In a recursive...

Persistent link: https://www.econbiz.de/10010295802

Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: Test based on EUR/HUF option-implied densities

Csávás, Csaba - 2008

In this paper we estimate risk-neutral probability density functions from EUR/HUF currency options using the Malz (1997 … rejection of forecasting ability. Our interpretation is that the standard deviation, the skewness and the kurtosis of the risk … latter results suggest that risk-neutral standard deviation and skewness can be used as proxy variables for the respective …

Persistent link: https://www.econbiz.de/10010322462

Testing the asset pricing model of exchange rates with survey data

Naszódi, Anna - 2011

This paper proposes a new test for the asset pricing model of the exchange rate. It examines whether the way market analysts generate their forecasts is closer to the one implied by the asset pricing model, or to any of those implied by some alternative models. The asset pricing model is...

Persistent link: https://www.econbiz.de/10010322470

Beating the random walk in Central and Eastern Europe by survey forecasts

Naszódi, Anna - 2011

This paper investigates the forecasting ability of survey data on exchange rate expectations with multiple forecast horizons. The survey forecasts are on the exchange rates of five Central and Eastern European currencies: Czech Koruna, Hungarian Forint, Polish Zloty, Romanian Leu and Slovakian...

Persistent link: https://www.econbiz.de/10010322480

The Joint Estimation of Term Structures and Credit Spreads

Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999

We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...

Persistent link: https://www.econbiz.de/10010324679

Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

Jaskowski, Marcin; McAleer, Michael - 2013

Credit risk models should reflect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary market value in bad states of nature, where...

Persistent link: https://www.econbiz.de/10010326422