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Uncertainty of macroeconomic forecasters and the prediction of stock market bubbles
Herwartz, Helmut; Cholodilin, Konstantin Arkadʹevič - 2014
We assess the contribution of macroeconomic uncertainty -- approximated by the dispersion of the real GDP survey forecasts -- to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years, two alternative binary chronologies of bubble periods...
Persistent link: https://www.econbiz.de/10010400661
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Disagreement in Economic Forecasts and Equity Returns : Risk or Mispricing?
Bali, Turan G. - 2020
fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …
Persistent link: https://www.econbiz.de/10012856755
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Disagreement in economic forecasts and equity returns : risk or mispricing?
Bali, Turan G.; Brown, Stephen J.; Tang, Yi - In: China finance review international 13 (2023) 3, pp. 309-341
Persistent link: https://www.econbiz.de/10014362710
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Inferring changing macroeconomic expectations from current financial indicators
Ratcliff, Ryan David - 2005
Persistent link: https://www.econbiz.de/10003909239
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Special issue on density forecasting in economics and finance
Timmermann, Allan (contributor) - 2000
Persistent link: https://www.econbiz.de/10001504591
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Financial forecasting for business and economics
Bomhoff, Eduard Jan - 1994
Persistent link: https://www.econbiz.de/10013474618
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Variations in economic uncertainty and risk premiums on capital assets
Gennotte, Gerard - In: European economic review : EER 37 (1993) 5, pp. 1021-1041
Persistent link: https://www.econbiz.de/10001147374
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Time series analysis for financial market meltdowns
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - 2010
the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks … over prevailing models for evaluating stock market risk exposure during distressed market periods. -- ARMA-GARCH model ; α …-stable distribution ; tempered stable distribution ; value-at-risk (VaR) ; average value-at-risk (AVaR) …
Persistent link: https://www.econbiz.de/10008653556
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Predicting rare events evaluating systemic and idiosyncratic risk
González-Rivera, Gloria (contributor) - In: International journal of forecasting 30 (2014) 3, pp. 688-690
Persistent link: https://www.econbiz.de/10010515595
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Can economic uncertainty, financial stress and consumer sentiments predict US equity premium?
Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - In: Journal of international financial markets, … 33 (2014), pp. 367-378
Persistent link: https://www.econbiz.de/10011299816