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Macroeconomic risks and asset pricing : evidence from a dynamic stochastic general equilibrium model

Li, Erica X. N.; Li, Haitao; Wang, Shujing; Yu, Cindy - In: Management science : journal of the Institute for … 65 (2019) 8, pp. 3585-3604

Persistent link: https://www.econbiz.de/10012062716

Forecasting financial returns with a structural macroeconomic model

Jondeau, Eric; Rockinger, Michael - 2016

This paper considers an institutional investor who is implementing a long-term portfolio allocation strategy using forecasts of financial returns. We compare the performance of two competing macro-finance models, an unrestricted Vector AutoRegression (VAR) and a fully structural Dynamic...

Persistent link: https://www.econbiz.de/10011515898

Essays on asset pricing and the macroeconomy

Kliem, Martin - 2009

Persistent link: https://www.econbiz.de/10003924973

Forecasting bond returns in a macro model

Hou, Keqiang; Li, Xing; Li, Zeguang; Wu, Ting - In: International review of economics & finance : IREF 72 (2021), pp. 524-545

Persistent link: https://www.econbiz.de/10012671988

The impact of heterogeneity of discount factors and asset returns on inequality

Ferreira, Pedro Cavalcanti; Guimarães, Guido Penido - In: Applied economics 50 (2018) 4, pp. 371-388

Persistent link: https://www.econbiz.de/10011846955

Equilibrium investment strategy for a DC pension plan with learning about stock return predictability

Wang, Pei; Shen, Yang; Zhang, Ling; Kang, Yuxin - In: Insurance 100 (2021), pp. 384-407

Persistent link: https://www.econbiz.de/10012622401

Predictive distributions and the market return : the role of market illiquidity

Ellington, Michael; Kalli, Maria - In: European journal of operational research : EJOR 323 (2025) 1, pp. 309-322

Persistent link: https://www.econbiz.de/10015415620

Infrequent random portfolio decisions in an open economy model

Bacchetta, Philippe; Van Wincoop, Eric; Young, Eric R. - In: The review of economic studies : RES 90 (2023) 3, pp. 1125-1154

Persistent link: https://www.econbiz.de/10014320205

Optimal prediction pools

Geweke, John; Amisano, Gianni - In: Journal of econometrics 164 (2011) 1, pp. 130-141

Persistent link: https://www.econbiz.de/10009270394

Bayesian model averaging and the conditional volatility process : an application to predicting aggregate equity returns by conditioning on economic variables

Nonejad, Nima - In: Quantitative finance 21 (2021) 8, pp. 1387-1411

Persistent link: https://www.econbiz.de/10012608655