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Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach
Laurini, Márcio Poletti; Neto, Armênio Westin - In: International Econometric Review (IER) 6 (2014) 2, pp. 77-99
This work presents an analysis of the presence of arbitrage opportunities in the term structure of interest rates, through the estimation of the affine generalized Nelson-Siegel model with correction for no-arbitrage. We challenge the necessity of the condition of noarbitrage using the Brazilian...
Persistent link: https://www.econbiz.de/10011212887
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Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach
Laurini, Márcio Poletti; Neto, Armênio Westin - In: International Econometric Review (IER) 6 (2014) 2, pp. 78-100
This work presents an analysis of the presence of arbitrage opportunities in the term structure of interest rates, through the estimation of the affine generalized Nelson-Siegel model with correction for no-arbitrage. We challenge the necessity of the condition of noarbitrage using the Brazilian...
Persistent link: https://www.econbiz.de/10010907877
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Optimal portfolio choice under decision-based model combinations
Pettenuzzo, Davide; Ravazzolo, Francesco - Norges Bank - 2014
We propose a novel Bayesian model combination approach where the combination weights depend on the past forecasting performance of the individual models entering the combination through a utility-based objective function. We use this approach in the context of stock return predictability and...
Persistent link: https://www.econbiz.de/10011162487
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Forecasting Stock Returns under Economic Constraints
Pettenuzzo, Davide; Timmermann, Allan G; Valkanov, Rossen - C.E.P.R. Discussion Papers - 2013
We propose a new approach to imposing economic constraints on time-series forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We...
Persistent link: https://www.econbiz.de/10011083895
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Forecasting Stock Returns under Economic Constraints
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen - Department of Economics, International Business School, … - 2013
We propose a new approach to imposing economic constraints on time-series forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We...
Persistent link: https://www.econbiz.de/10010896689
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The Ability to ''Outperform the Market'': Logical Foundations based on the Theory of Rational Beliefs
Brock, Horace W. - In: Rivista Internazionale di Scienze Sociali 115 (2007) 3, pp. 365-402
deluding himself? The purpose of this paper is to apply the new Theory of Rational Beliefs (RB) to demonstrate the following … will identify are not directly implied by RB theory which is a positive theory, the strategies are logically compatible … with RB theory when interpreted in a normative manner from the standpoint of an individual agent attempting to exploit the …
Persistent link: https://www.econbiz.de/10010786782
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To Predict the Equity Market, Consult Economic Theory
Pettenuzzo, Davide - Rosenberg Institute of Global Finance, Department of … - 2013
economic theory into account. …
Persistent link: https://www.econbiz.de/10010787866
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Bayesian Model Averaging in the Presence of Structural Breaks
Ravazzolo, Francesco; van Dijk, Dick; Paap, Richard; … - Faculteit der Economische Wetenschappen, Erasmus … - 2006
This paper develops a return forecasting methodology that allows for instabil ity in the relationship between stock returns and predictor variables, for model uncertainty, and for parameter estimation uncertainty. The predictive regres sion speci¯cation that is put forward allows for occasional...
Persistent link: https://www.econbiz.de/10010837764
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Forecasting stock returns under economic constraints
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen - In: Journal of Financial Economics 114 (2014) 3, pp. 517-553
We propose a new approach to imposing economic constraints on time series forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We...
Persistent link: https://www.econbiz.de/10011076288
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On Flexible Linear Factor Stochastic Volatility Models
Malefaki, Valia - Volkswirtschaftliche Fakultät, … - 2015
data-based alternative to evaluate the cross sectional restrictions suggested by arbitrage pricing theory. A mixture …
Persistent link: https://www.econbiz.de/10011170534