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Rationality and Forecasting Accuracy of Exchange Rate Expectations : Evidence from Survey-Based Forecasts
Ince, Onur - 2019
2004 to 2012, we find strong evidence that the forecasts for developing countries are biased at all forecast horizons. For … increases again at the 24-month horizon. Based on the magnitude of the forecast errors and the direction of change, long … forecast horizon …
Persistent link: https://www.econbiz.de/10012903718
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Central bank credibility and inflation expectations : a microfounded forecasting approach
Issler, João Victor; Soares, Ana Flávia - In: Macroeconomic dynamics 27 (2023) 5, pp. 1268-1288
Persistent link: https://www.econbiz.de/10014306744
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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...
Persistent link: https://www.econbiz.de/10002633392
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Excess stock returns and news : evidence from European markets
Malliaropulos, Dimitrios - In: European financial management : the journal of the … 4 (1998) 1, pp. 29-46
Persistent link: https://www.econbiz.de/10001244084
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Does Consumption-Wealth Ratio Signal Stock Returns? VECM Results for Germany
Xu, Fang - 2009
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, performance of...
Persistent link: https://www.econbiz.de/10013154587
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Excess Stock Returns and News : Evidence from European Markets
Malliaropulos, Dimitris - 2022
This paper aims at decomposing the forecast error variance of excess returns in five major European stock markets into …
Persistent link: https://www.econbiz.de/10014236921
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Modeling and Forecasting Realized Range Volatility
Caporin, Massimiliano - 2011
In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the … distribution for the innovations. The analysis of the forecast performance during the different periods suggests that including the …
Persistent link: https://www.econbiz.de/10013130487
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Modeling and Forecasting Realized Volatility
Andersen, Torben G. - 2002
and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic … volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically …
Persistent link: https://www.econbiz.de/10012787458
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Modeling and Forecasting Realized Volatility
Andersen, Torben G. - 2001
and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic … volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically …
Persistent link: https://www.econbiz.de/10012470566
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Modeling and forecasting realized volatility in German-Austrian continuous intraday electricity prices
Ciarreta, Aitor; Muniain, Peru; Zarraga, Ainhoa - In: Journal of forecasting 36 (2017) 6, pp. 680-690
Persistent link: https://www.econbiz.de/10011861404