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A systematic comparison of professional exchange rate forecasts with judgmental forecasts of novices: Are there substantial differences?
Schmidt, Robert; Leitner, Johannes - 2004
markets. We analyze the respective forecasting accuracy and our results indicate that there exist substantial differences …
Persistent link: https://www.econbiz.de/10010296526
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Biases of professional exchange rate forecasts: Psychological explanations and an experimentally based comparison to novices
Leitner, Johannes; Schmidt, Robert; Bofinger, Peter - 2003
reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve … environment, we analyse the forecasting behaviour of students experimentally, using a simulated currency series. Our results … indicate that a topically oriented trend adjustment behaviour (TOTA) is a general characteristic of human forecasting behaviour …
Persistent link: https://www.econbiz.de/10010305737
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Machine learning, human experts, and the valuation of real assets
Aubry, Mathieu; Kräussl, Roman; Manso, Gustavo; … - 2019
We study the accuracy and usefulness of automated (i.e., machine-generated) valuations for illiquid and heterogeneous real assets. We assemble a database of 1.1 million paintings auctioned between 2008 and 2015. We use a popular machine-learning technique - neural networks - to develop a pricing...
Persistent link: https://www.econbiz.de/10012118740
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Empirical pricing kernels and investor preferences
Detlefsen, Kai; Härdle, Wolfgang Karl; Moro, Rouslan A. - 2007
This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...
Persistent link: https://www.econbiz.de/10010275864
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Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries: A Time-Varying Approach
Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021
This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...
Persistent link: https://www.econbiz.de/10012658028
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Biased auctioneers
Aubry, Mathieu; Kräussl, Roman; Manso, Gustavo; … - 2023
We construct a neural network algorithm that generates price predictions for art at auction, relying on both visual and non-visual object characteristics. We find that higher automated valuations relative to auction house pre-sale estimates are associated with substantially higher...
Persistent link: https://www.econbiz.de/10013557352
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Realized copula
Fengler, Matthias R.; Okhrin, Ostap - 2012
We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...
Persistent link: https://www.econbiz.de/10010318779
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Penalized Adaptive Forecasting with Large Information Sets and Structural Changes
Zbonakova, Lenka; Li, Xinjue; Härdle, Wolfgang Karl - 2018
In the present paper we propose a new method, the Penalized Adaptive Method (PAM), for a data driven detection of structural changes in sparse linear models. The method is able to allocate the longest homogeneous intervals over the data sample and simultaneously choose the most proper variables...
Persistent link: https://www.econbiz.de/10012433188
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Idiosyncratic risk, aggregate risk, and the welfare effects of social security
Harenberg, Daniel; Ludwig, Alexander - 2017
We ask whether a pay-as-you-go financed social security system is welfare improving in an economy with idiosyncratic productivity and aggregate business cycle risk. We show analytically that the whole welfare benefit from joint insurance against both risks is greater than the sum of benefits...
Persistent link: https://www.econbiz.de/10012064270
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Social security in an analytically tractable overlapping generations model with aggregate and idiosyncratic risk
Harenberg, Daniel; Ludwig, Alexander - 2015
When markets are incomplete, social security can partially insure against idiosyncratic and aggregate risks. We incorporate both risks into an analytically tractable model with two overlapping generations. We derive the equilibrium dynamics in closed form and show that joint presence of both...
Persistent link: https://www.econbiz.de/10012064274