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A quantile-boosting approach to forecasting gold returns
Pierdzioch, Christian; Risse, Marian - In: The North American journal of economics and finance : a … 35 (2016), pp. 38-55
Persistent link: https://www.econbiz.de/10011672283
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Predicting German Stock and Bond Returns with Macro-Variables : Evidence of Market Timing
Hyde, Stuart - 2010
We investigate the predictive ability of financial and macroeconomic variables for German stock and bond returns using a battery of performance metrics in addition to measures of superior predictive accuracy to identify the ‘best' models. We also examine whether combination forecasts provide...
Persistent link: https://www.econbiz.de/10013149198
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The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
Dobrev, Dobrislav - 2011
We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted...
Persistent link: https://www.econbiz.de/10013128339
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Commodity futures return predictability and intertemporal asset pricing
Cotter, John; Eyiah-Donkor, Emmanuel; Potì, Valerio - 2020
We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor....
Persistent link: https://www.econbiz.de/10012418356
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Can Deep Neural Networks Outperform Fama-MacBeth Regression and Other Supervised Learning Approaches in Stock Returns Prediction With Asset-Pricing Factors?
Teng, Huei-Wen; Li, Yu-Hsien - 2022
In asset pricing, most studies focus on finding new factors such as macroeconomic factors or firm characteristics to explain risk premium. Investigating whether these factors are useful in forecasting stock returns remains active research in the field of finance and computer science. This paper...
Persistent link: https://www.econbiz.de/10014235825
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Diverging roads: theory-based vs. machine learning-implied stock risk premia
Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2020
We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the … preferable to rely on a theory-based approach instead of engaging in the computerintensive hyper-parameter tuning of statistical … models. The theory-based approach also delivers a solid performance at the one year horizon, at which only one machine …
Persistent link: https://www.econbiz.de/10012163064
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Ambiguity, long-run risks, and asset prices
Wei, Bin - 2021
I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...
Persistent link: https://www.econbiz.de/10012617667
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Forecasting Long-Horizon Factor Volatility
Zeissler, Tom Oskar Karl - 2022
This paper investigates forecasts of long-term volatility for the fast-growing field of long-short factor strategies in an extensive in- and out-of-sample framework. More in detail, the study follows previous authors by empirically comparing various forecast configurations to provide guidance to...
Persistent link: https://www.econbiz.de/10013289776
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Predictability and the cross-section of expected returns : a challenge for asset pricing models
Schlag, Christian; Semenischev, Michael; Thimme, Julian - 2020 - This version: August 28, 2020
Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price …
Persistent link: https://www.econbiz.de/10012271368
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Macroeconomic expectations and state-dependent factor returns
Haase, Felix; Neuenkirch, Matthias - 2023
for the price of risk. We also document that the survey expectations-augmented specification reduces pricing and premium …
Persistent link: https://www.econbiz.de/10014388605