Narrow search
Showing 1 - 10 of 2,353
Cover Image
Dividend growth predictability and the price-dividend ratio
Piatti, Ilaria; Trojani, Fabio - 2012 - This version: October 2012
Conventional tests of present-value models over-reject the null of no predictability. In order to better account for the intrinsic probability of detecting predictive relations by chance alone, we develop a new nonparametric Monte Carlo testing method, which does not rely on distributional...
Persistent link: https://www.econbiz.de/10009684124
Cover Image
Identification and critical time forecasting of real estate bubbles in the USA and Switzerland
Ardila, Diego; Sanadgol, Dorsa; Cauwels, Peter; … - 2014
We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two … that the model is able to forecast the end of the bubbles and to identify variables highly relevant during the bubble …
Persistent link: https://www.econbiz.de/10010411858
Cover Image
The real-time predictive content of asset price bubbles for macro forecasts
Beckers, Benjamin - 2015
price bubbles. Against this background, the paper evaluates if new advances in real-time bubble detection, as brought … the bubbles in the sample. Therefore, the paper suggests a combination approach of different bubble indicators which helps … to account for the uncertainty around start and end dates of asset price bubbles. Additionally, the paper then …
Persistent link: https://www.econbiz.de/10011300629
Cover Image
Optimal forecasts in the presence of discrete structural breaks under long memory
Mboya, Mwasi Paza; Sibbertsen, Philipp - 2022
We develop methods to obtain optimal forecast under long memory in the presence of a discrete structural break based on different weighting schemes for the observations. We observe significant changes in the forecasts when long-range dependence is taken into account. Using Monte Carlo...
Persistent link: https://www.econbiz.de/10014247842
Cover Image
GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts
Ardia, David; Hoogerheide, Lennart - 2013
Persistent link: https://www.econbiz.de/10010191413
Cover Image
Time-series momentum : a Monte-Carlo approach
Cheng, Enoch; Struck, Clemens - 2019
This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...
Persistent link: https://www.econbiz.de/10011990919
Cover Image
Testing multiplicative error models using conditional moment tests
Hautsch, Nikolaus - 2008
We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....
Persistent link: https://www.econbiz.de/10003796125
Cover Image
A random forest-based approach to identifying the most informative seasonality tests
Ollech, Daniel; Webel, Karsten - 2020
Virtually each seasonal adjustment software includes an ensemble of seasonality tests for assessing whether a given time series is in fact a candidate for seasonal adjustment. However, such tests are certain to produce either the same resultor conflicting results, raising the question if there...
Persistent link: https://www.econbiz.de/10012301212
Cover Image
Volatility, valuation ratios, and bubbles : an empirical measure of market sentiment
Gao, Can; Martin, Ian - 2021
We define a sentiment indicator based on option prices, valuation ratios and interest rates. The indicator can be interpreted as a lower bound on the expected growth in fundamentals that a rational investor would have to perceive in order to be happy to hold the market. The lower bound was...
Persistent link: https://www.econbiz.de/10012489383
Cover Image
Testing for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2013 - This Version: January 2013
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10009747441