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Fitting and Forecasting Sovereign Defaults Using Multiple Risk Signals

Savona, Roberto - 2011

(reserve growth) and contagion risks act as the main determinants/predictors of past/future debt crises …

Persistent link: https://www.econbiz.de/10013117928

Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

markets in Asia, Europe and North America; 2) the research review on the classic forecast techniques of the foreign currencies … exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …

Persistent link: https://www.econbiz.de/10013013057

International equity flows and the predictability of US stock returns

Hartmann, Daniel; Pierdzioch, Christian - In: Journal of forecasting 26 (2007) 8, pp. 583-599

Persistent link: https://www.econbiz.de/10003608154

Meese-Rogoff Redux : Micro-Based Exchange Rate Forecasting

Evans, Martin D.D; Lyons, Richard K. - 2005

This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine forecasting over horizons from one day to one month (the...

Persistent link: https://www.econbiz.de/10014067648

Out-of-Sample Exchange Rate Predictability with Real-Time Data

Ince, Onur - 2019

This paper evaluates short-run out-of-sample exchange rate predictability with real-time data for 15 OECD countries from 1973 to 2013. We consider the Taylor rule fundamentals model, where the variables that enter the Taylor rule are used to forecast exchange rate changes, and the Taylor rule...

Persistent link: https://www.econbiz.de/10012903719

Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals

Molodtsova, Tanya - 2009

An extensive literature that studied the performance of empirical exchange rate models following Meese and Rogoff's (1983a) seminal paper has not convincingly found evidence of out-of-sample exchange rate predictability. This paper extends the conventional set of models of exchange rate...

Persistent link: https://www.econbiz.de/10012764841

Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

Baba, Boubekeur; Sevil, Güven - In: Financial innovation : FIN 7 (2021), pp. 1-25

This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression with...

Persistent link: https://www.econbiz.de/10012594935

Early warning systems using dynamic factor models : an application to Asian economies

Truong, Chi; Sheen, Jeffrey R.; Trück, Stefan; … - In: Journal of financial stability 58 (2022), pp. 1-41

Persistent link: https://www.econbiz.de/10013417471

Monetary DSGE models of two countries : set-up, estimation and forecasting performance

Gunter, Ulrich - 2010

Die vorliegende Dissertation mit dem Titel Monetary DSGE Models of Two Countries: Set-Up, Estimation, and Forecasting …

Persistent link: https://www.econbiz.de/10011853175

Do Foreign Yield Curves Predict U.S. Recessions?

Ahmed, Rashad - 2022

This note shows that non-U.S. yield curves contain information about future U.S. recessions and economic activity. Using quarterly data from 1979-2021, a foreign term spread constructed from the bond yields of G-7 constituents is included in regressions of U.S. recession risk and U.S. real GDP...

Persistent link: https://www.econbiz.de/10013289150

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