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Uncertainty due to infectious diseases and stock-bond correlation

Gillas, Konstantinos Gkillas; Konstantatos, Christoforos; … - In: Econometrics 9 (2021) 2, pp. 1-18

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock-bond correlation. To … this type of uncertainty on realized stock-bond correlation and jumps. Our findings reveal that uncertainty … this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ …

Persistent link: https://www.econbiz.de/10012696322

A bibliometric analysis of machine learning econometrics in asset pricing

Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of Risk and Financial Management 15 (2022) 11, pp. 1-17

nonlinearity, and improved out-of-sample prediction. This article conducted a comprehensive, objective, and quantitative …

Persistent link: https://www.econbiz.de/10014332691

Financial Frictions and the Wealth Distribution

Fernández-Villaverde, Jesús; Hurtado, Samuel; Nuño, Galo - 2020

endogenous aggregate risk. This risk induces an endogenous regime-switching process for output, the risk-free rate, excess …

Persistent link: https://www.econbiz.de/10012269552

Covariance prediction in large portfolio allocation

Trucíos, Carlos; Zevallos, Mauricio; Hotta, Luiz K.; … - In: Econometrics 7 (2019) 2, pp. 1-24

Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based …

Persistent link: https://www.econbiz.de/10012696234

Mixtures of t-distributions for finance and forecasting

Giacomini, Raffaella; Gottschling, Andreas; Haefke, … - 2007

We explore convenient analytic properties of distributions constructed as mixtures of scaled and shifted t-distributions. A feature that makes this family particularly desirable for econometric applications is that it possesses closed-form expressions for its anti-derivatives (e.g., the...

Persistent link: https://www.econbiz.de/10010293996

Forecasting stock market averages to enhance profitable trading strategies

Haefke, Christian; Helmenstein, Christian - 1995

In this paper we design a simple trading strategy to exploit the hypothesized distinct informational content of the arithmetic and geometric mean. The rejection of cointegration between the two stock market indicators supports this conjecture. The profits generated by this cheaply replicable...

Persistent link: https://www.econbiz.de/10010291049

Support vector regression based GARCH model with application to forecasting volatility of financial returns

Chen, Shiyi; Jeong, Kiho; Härdle, Wolfgang Karl - 2008

In recent years support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a moving...

Persistent link: https://www.econbiz.de/10010274143

Prediction risk and the forecasting of stock market indexes

Haefke, Christian; Helmenstein, Christian - 1995

In most of the empirical research on capital markets, stock market indexes are used as proxies for the aggregate market development. In previous work we found that a particular market segment might be less efficient than the whole market and hence easier to forecast. In this paper we extend the...

Persistent link: https://www.econbiz.de/10010291063

Contagion Testing in Embryonic Markets under Alternative Stressful US Market Scenarios

Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019

We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete conditions of: (1) Tranquil versus turbulent...

Persistent link: https://www.econbiz.de/10012179828

Forecasting stock market realized variance with Echo State Neural Networks

Fičura, Milan - In: European Financial and Accounting Journal 12 (2017) 3, pp. 145-156

results show that asymmetric models generally outperform symmetric ones, indicating that a correlation between volatility and …

Persistent link: https://www.econbiz.de/10011937427

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