Showing 1 - 10 of 1,352
This paper investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of asset prices. We show that regression-based tests, including optimal robust tests such as Jasson and Moreira's...
Persistent link: https://www.econbiz.de/10013132892
Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing framework resistant to such violations, which is consistent with nearly integrated regressors and...
Persistent link: https://www.econbiz.de/10009721331
Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be unreliable in the situation when selection is based on...
Persistent link: https://www.econbiz.de/10011722180
In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...
Persistent link: https://www.econbiz.de/10013128856
Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be unreliable in the situation when selection is based on...
Persistent link: https://www.econbiz.de/10012854038
We employ a Mixed-Frequency VAR to study the effect of four valuation ratios (the price-dividend ratio, the price-earnings ratio, the Cyclically Adjusted Price Earnings Ratio and the Total Return Cyclically Adjusted Price Earnings Ratio) on the US stock market. We quantify the interaction...
Persistent link: https://www.econbiz.de/10012859247
This paper analyzes the relationship between the properties of the prediction errors of a predictor that assumes an autoregressive unit root and its optimal detection. According with this relationship, new autoregressive unit root tests are proposed based on multi-step prediction errors. It is...
Persistent link: https://www.econbiz.de/10014204747
This paper proposes a method for comparing and combining conditional quantile forecasts based on the principle of 'encompassing'. Our test for conditional quantile forecast encompassing (CQFE) is a test of superior predictive ability, constructed as a Wald-type test on the coefficients of an...
Persistent link: https://www.econbiz.de/10014113643
This paper proposes and analyzes tests that can be used to compare the accuracy of alternative conditional density forecasts of a variable. The tests are also valid in the broader context of model selection based on out-of-sample predictive ability. We restrict attention to the case of density...
Persistent link: https://www.econbiz.de/10014105681
This paper investigates international index return predictability using option-implied information. We document the significant predictive power of the variance risk premium (VRP), Foster-Hart risk (FH), and higher-order moments for horizons ranging from 1 to 250 days. Our results from...
Persistent link: https://www.econbiz.de/10014112697