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Stock Index Returns' Density Prediction Using GARCH Models : Frequentist or Bayesian Estimation?
Hoogerheide, Lennart F. - 2017
Using well-known GARCH models for density prediction of daily S&P 500 and Nikkei 225 index returns, a comparison is provided between frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts of the whole density, whereas the Bayesian approach...
Persistent link: https://www.econbiz.de/10012976219
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Forecasting Stock Returns Under Economic Constraints
Pettenuzzo, Davide - 2014
We propose a new approach to imposing economic constraints on 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 consider two...
Persistent link: https://www.econbiz.de/10013064939
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Evidence of Stock Returns and Abnormal Trading Volume : A Quantile Regression Approach
Chen, Cathy W. S. - 2015
distribution to six daily Dow Jones Industrial stocks, the proposed model captures asymmetric risk through market beta and volume …
Persistent link: https://www.econbiz.de/10013029438
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Volatility Forecasting Using Threshold Heteroskedastic Models of the Intra-day Range
Chen, Cathy W. S.; Gerlach, Richard H.; Lin, Edward M.H - 2009
An effective approach for forecasting return volatility via threshold nonlinear heteroskedastic models of the daily asset price range is provided. The return is defined as the difference between the highest and lowest log intra-day asset price. A general model specification is proposed, allowing...
Persistent link: https://www.econbiz.de/10014207634
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Machine Learning Goes Global : Cross-Sectional Return Predictability in International Stock Markets
Cakici, Nusret; Fieberg, Christian; Metko, Daniel; … - 2022
with many listed firms and high idiosyncratic risk limiting arbitrage …
Persistent link: https://www.econbiz.de/10013405067
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - 2010
making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …
Persistent link: https://www.econbiz.de/10003965868
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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
Pesaran, Bahram - 2013
making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …
Persistent link: https://www.econbiz.de/10013094817
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Forecasting Stock Returns : Does Switching Between Models Help?
McMillan, David G. - 2009
Research examining the usefulness of non-linear models for stock market returns has almost reached an impasse. While there is general recognition of the superior ability of non-linear models to describe the data, there is less certainty about their ability to forecast the data. As such simple...
Persistent link: https://www.econbiz.de/10013158958
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Forecasting Stock Returns : Do Commodity Prices Help?
Black, Angela J. - 2014
This paper examines the relationship between stock prices and commodity prices and whether this can be used to forecast stock returns. As both prices are linked to expected future economic performance they should exhibit a long-run relationship. Moreover, changes in sentiment towards commodity...
Persistent link: https://www.econbiz.de/10013050821
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Dividend Yields, Dividend Growth, and Return Predictability in the Cross-Section of Stocks
Maio, Paulo F. - 2015
There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth - e.g. Cochrane's presidential address (Cochrane (2011)). We show that this pattern, although valid for the aggregate stock market, is not true for...
Persistent link: https://www.econbiz.de/10013036406