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Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar; Schneider, Paul - 2009
Persistent link: https://www.econbiz.de/10009428004
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Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar; Schneider, Paul - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 479-506
Persistent link: https://www.econbiz.de/10010391949
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Realized Volatility Risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013
of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting …
Persistent link: https://www.econbiz.de/10010326350
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Forecasting Interest Rates with Shifting Endpoints
van Dijk, Dick; Koopman, Siem Jan; van der Wel, Michel; … - 2012
Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary … process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat yields … the problem of forecasting the term structure of interest rates with the assumption that the yield curve is driven by …
Persistent link: https://www.econbiz.de/10010326362
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The yield curve as a predictor and emerging economies
Mehl, Arnaud - 2006
-of-sample forecasting performance. Differences across countries are seemingly linked to market liquidity. The paper further finds that the …
Persistent link: https://www.econbiz.de/10011604737
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Hierarchical Markov normal mixture models with applications to financial asset returns
Geweke, John; Amisano, Gianni - 2007
With the aim of constructing predictive distributions for daily returns, we introduce a new Markov normal mixture model in which the components are themselves normal mixtures. We derive the restrictions on the autocovariances and linear representation of integer powers of the time series in...
Persistent link: https://www.econbiz.de/10011604877
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Comparing and evaluating Bayesian predictive distributions of assets returns
Geweke, John; Amisano, Gianni - 2008
Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...
Persistent link: https://www.econbiz.de/10011605015
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Optimal Prediction Pools
Geweke, John; Amisano, Gianni - 2009
A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...
Persistent link: https://www.econbiz.de/10011605063
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Does the macroeconomy predict UK asset returns in a nonlinear fashion? : comprehensive out-of-sample evidence
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010
Persistent link: https://www.econbiz.de/10008668600
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Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010
We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...
Persistent link: https://www.econbiz.de/10008990694