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Noise, Risk Premium, and Bubble
Andruszkiewicz, Grzegorz; Brody, Dorje C. - 2011
The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerning the value of the random variable X that might be interpreted as the timing of future cash...
Persistent link: https://www.econbiz.de/10014185726
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Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
Lleo, Sébastien; Ziemba, William T. - In: International journal of forecasting 31 (2015) 2, pp. 399-425
Persistent link: https://www.econbiz.de/10011474134
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Using a mean changing stochastic processes exit-entry model for stock market long-short prediction
Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021
Persistent link: https://www.econbiz.de/10012520206
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Predicting stock market crashes in China
Lleo, Sébastien; Ziemba, William T. - In: The journal of portfolio management : a publication of … 44 (2018) 5, pp. 125-135
Persistent link: https://www.econbiz.de/10011879573
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Can Warren Buffett forecast equity market corrections?
Lleo, Sébastien; Ziemba, William T. - In: The European journal of finance 25 (2019) 4, pp. 369-393
Persistent link: https://www.econbiz.de/10012206981
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A tale of two indexes : predicting equity market downturns in China
Lleo, Sébastien; Ziemba, William T. - 2018
Persistent link: https://www.econbiz.de/10012213962
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Using a mean changing stochastic processes exit-entry model for stock market longshort prediction
Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021
Persistent link: https://www.econbiz.de/10012534838
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Does the bond-stock earnings yield differential model predict equity market corrections better than high P/E models?
Lleo, Sébastien; Ziemba, William T. - In: Financial markets, institutions & instruments 26 (2017) 2, pp. 61-123
Persistent link: https://www.econbiz.de/10011713610
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Using a mean-changing stochastic processes exit-entry model for stock market long-short prediction
Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - In: The journal of portfolio management : JPM 49 (2022) 1, pp. 172-197
Persistent link: https://www.econbiz.de/10014232181