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Simulating Fundamental Analysis of a Firm Using a VECX Model

de Medeiros, Otavio Ribeiro - 2011

The study aims at simulating and forecasting a company's stock returns and prices by a fundamentalist analysis process based on a Vector Error Correction with Exogenous Variables (VECX) econometric model. To achieve this, we selected relevant fundamentalist indicators and specified a model...

Persistent link: https://www.econbiz.de/10013129177

Assessing Point Forecast Bias Across Multiple Time Series : Measures and Visual Tools

Davydenko, Andrey; Goodwin, Paul - 2021

Measuring bias is important as it helps identify flaws in quantitative forecasting methods or judgmental forecasts. It … can, therefore, potentially help improve forecasts. Despite this, bias tends to be under represented in the literature …: many studies focus solely on measuring accuracy. Methods for assessing bias in single series are relatively well known and …

Persistent link: https://www.econbiz.de/10013314570

Improving the estimation and predictions of small time series models

Liu-Evans, Gareth - In: Journal of time series econometrics 15 (2023) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10014288356

Log-Normal Creaming and the Likelihood of Discovering Additional Giant Petroleum Fields

Lillestol, Jostein - 2016

This paper considers sampling proportional to expected size from a partly unknown distribution. The applied context is the exploration for undiscovered resources, like oil accumulations in different deposits, where the most promising deposits are likely to be drilled first, based on some...

Persistent link: https://www.econbiz.de/10013000314

Best Estimate Reporting with Asymmetric Loss

Lillestol, Jostein - 2015

This paper considers the problem of point prediction based on a predictive distribution, representing the uncertainty about the outcome. The issue explored is the reporting of a single characteristic, typically the mean, the median or the mode, in the context of a skewed distribution and...

Persistent link: https://www.econbiz.de/10013029145

Market Risk Prediction under Illiquid Market Environments : A Comparison of Alternative Modeling Techniques

Al Janabi, Mazin A. M. - 2021

This paper bridges the gap in trading risk management literatures, and particularly from the perspective of emerging and illiquid markets. We find that under certain trading strategies, such as short-selling of stocks, the sensitivity of L-VaR statistics are rather critical to the selected...

Persistent link: https://www.econbiz.de/10013227177

Chapter 71 Econometric Evaluation of Social Programs, Part II: Using the Marginal Treatment Effect to Organize Alternative Econometric Estimators to Evaluate Social Programs, and to Forecast their Effects in New Environments

Heckman, James J.; Vytlacil, Edward J. - In: Handbook of econometrics : volume 6B, (pp. 4875-5143). 2007

This chapter uses the marginal treatment effect (MTE) to unify and organize the econometric literature on the evaluation of social programs. The marginal treatment effect is a choice-theoretic parameter that can be interpreted as a willingness to pay parameter for persons at a margin of...

Persistent link: https://www.econbiz.de/10014024944

A Collection on the Versatility and Predictive Power of Survey Expectations Data

Guzman, Giselle - 2014

This collection of papers analyzes the versatility and predictive power of survey expectations data in asset pricing and macroeconomic forecasting. The first paper, Using Sentiment Surveys to Predict GDP Growth and Stock Returns sheds new light on the question of whether or not sentiment...

Persistent link: https://www.econbiz.de/10013055949

Using Sentiment Surveys to Predict GDP Growth and Stock Returns

Guzman, Giselle - 2012

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10013110732

The past as prologue : a new approach to forecasting

Czasonis, Megan; Kritzman, Mark; Turkington, David - 2021 - This version: January 20, 2021

It is common practice to forecast social, political, and economic outcomes by polling people about their intentions. This approach is direct, but it can be unreliable in settings where it is hard to identify a representative sample, or where subjects have an incentive to conceal their true...

Persistent link: https://www.econbiz.de/10012501630