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Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility
Cakmakli, Cem; van Dijk, Dick - 2010
This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...
Persistent link: https://www.econbiz.de/10010326025
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Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013
Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on...
Persistent link: https://www.econbiz.de/10010326487
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Generalized dynamic factor model + GARCH exploiting multivariate information for univariate prediction
Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - 2007
We propose a new model for volatility forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the GARCH model. The GDFM, applied to a large number of series, captures the multivariate information and disentangles the common and the idiosyncratic part of each series of returns....
Persistent link: https://www.econbiz.de/10010328627
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Comparing and evaluating Bayesian predictive distributions of assets returns
Geweke, John; Amisano, Gianni - 2008
Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and …
Persistent link: https://www.econbiz.de/10011605015
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The forecasting power of internal yield curve linkages
Modugno, Michele; Nikolaou, Kleopatra - 2009
This paper investigates whether information from foreign yield curves helps forecast domestic yield curves out-of-sample. A nested methodology to forecast yield curves in domestic and international settings is applied on three major countries (the US, Germany and the UK). This novel methodology...
Persistent link: https://www.econbiz.de/10011605090
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Zeit, Wohlstand und Zufriedenheit - multidimensionale Polarisierung von Zeit und Einkommen: Selbständige und abhängig Beschäftigte
Merz, Joachim; Scherg, Bettina - 2016
In dieser Studie werden Zeit, Wohlstand und Zufriedenheit mit einem interdependenten multidimensionalen (IMD …) Polarisierungsansatz von Zeit und Einkommen und der Entwicklung über 20 Jahre in Deutschland analysiert. Mit dem neuen Ansatz zur … (ZBE/ZVE, GTUS) der Jahre 1991/92, 2001/02 und aktuell 2012/13. Prominentes Ergebnis: Die multidimensionale Zeit und …
Persistent link: https://www.econbiz.de/10011607340
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Kann Offenheit geplant werden? Ein Essay über die zeitliche Dimension in der räumlichen Planung
Siegmund, Yvonne - In: Räumliche Transformation: Prozesse, Konzepte, …, (pp. 165-176). 2019
Sinnzusammenhänge sein. Obgleich in der Planungspraxis der Faktor Zeit noch vorwiegend ignoriert wird, experimentieren einige Ausnahmen …, considering processes as a function of time can be a key to understanding these complex contexts. Although in the planning … practice the factor time is still largely ignored, some exceptions such as Rapid Planning or Slow Urbanism experiment with it …
Persistent link: https://www.econbiz.de/10012108702
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Intergenerational altruism and transfers of time and money: a life cycle perspective
Bolt, Uta; French, Eric; Hentall-MacCuish, Jamie; … - 2023
mothers and fathers make investments in their children. We find that time investments, educational investments, and … education subsidies can reduce inequality, due to an estimated dynamic complementarity between time investments and education …
Persistent link: https://www.econbiz.de/10014480401
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Raumwissen für die große Transformation
Knieling, Jörg; Koch, Florian; Kruse, Sylvia; Seidl, Irmi - In: Nachhaltige Raumentwicklung für die große …, (pp. 190-213). 2021
Die Autorinnen fragen nach den Inhalten und Formen von Wissen über Raum und Raumentwicklung für die große Transformation sowie nach den Bedingungen für dessen Produktion und Verbreitung. Vor dem Hintergrund der frühen Debatten um nachhaltige Raumentwicklung werden die Hemmnisse und...
Persistent link: https://www.econbiz.de/10012498760
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Common ownership in fintech markets
Tzanaki, Anna; Alekseeva, Liudmila; Azar, José - 2023
Persistent link: https://www.econbiz.de/10014282672