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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

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

Persistent link: https://www.econbiz.de/10011212887

Optimal Portfolio Choice under Decision-Based Model Combinations

Pettenuzzo, Davide; Ravazzolo, Francesco - Department of Economics, International Business School, … - 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 combina- tion through a utility-based objective function. We use this approach in the context of stock return predictability and...

Persistent link: https://www.econbiz.de/10010942490

Tests of Mean-Variance Spanning

Kan, Raymond; Zhou, Guofu - In: Annals of Economics and Finance 13 (2012) 1, pp. 139-187

In this paper, we conduct a comprehensive study of tests for mean-variance spanning. Under the regression framework of Huberman and Kandel (1987), we provide geometric interpretations not only for the popular likelihood ratio test, but also for two new spanning tests based on the Wald and...

Persistent link: https://www.econbiz.de/10009358969

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

Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors

Gupta, Rangan; Modise, Mampho P.; Uwilingiye, Josine - Department of Economics, Faculty of Economic and … - 2011

This paper uses a predictive regression framework to examine the out-of-sample predictability of South Africa’s equity premium, using a host of financial and macroeconomic variables. Past studies tend to suggest that the predictors on their own fail to deliver consistent out-of-sample forecast...

Persistent link: https://www.econbiz.de/10010603881

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

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

Model Combination and Stock Return Predictability

Hagmann, Matthias; Loebb, Joachim - 2006

Bayesian Model Averaging (BMA) has recently been discussed in the financial literature as an effective way to account for model uncertainty. In this paper we compare BMA to a new model uncertainty framework introduced by Yang (2004), called Aggregate Forecasting Through Exponential Reweighting,...

Persistent link: https://www.econbiz.de/10005162980

Predictable returns and asset allocation: Should a skeptical investor time the market?

Wachter, Jessica A.; Warusawitharana, Missaka - Society for Economic Dynamics - SED - 2006

intermediate view: that both data and theory are useful for decision-making. We investigate optimal portfolio choice for an …

Persistent link: https://www.econbiz.de/10005051279

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