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Forecasting government bond yields with neural networks considering cointegration

Wegener, Christoph; Spreckelsen, Christian von; Basse, … - In: Journal of forecasting 35 (2016) 1, pp. 86-92

Persistent link: https://www.econbiz.de/10011417732

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart F.; Dijk, Herman … - 2014

cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization …

Persistent link: https://www.econbiz.de/10010259626

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

Persistent link: https://www.econbiz.de/10011505854

Fractional integration of the price-dividend ratio in a present-value model of stock prices

Goliñski, Adam; Madeira, João; Rambaccussing, Dooruj - 2015

Persistent link: https://www.econbiz.de/10010513447

Does consumption-wealth ratio signal stock returns? : VECM results for Germany

Fang, Xu (contributor) - 2005

This paper studies the signalling effect of the consumption-wealth ratio (cay) on German stock returns via vector error correction models (VECMs). The effect of cay on U.S. stock returns has been recently confirmed by Lettau and Ludvigson with a two-stage method. In this paper, performances of...