Narrow search
Showing 1 - 10 of 741
Cover Image
Inflation uncertainty and disagreement in bond risk premia
D'Amico, Stefania; Orphanides, Athanasios - 2014
This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the subjective probability distributions available in the Survey of Professional Forecasters we construct a quarterly time series of average individual uncertainty about inflation...
Persistent link: https://www.econbiz.de/10010441139
Cover Image
Financial Sector Tail Risk and Real Economic Activity : Evidence from the Option Market
Neumann, Michael - 2014
This paper documents that option-implied tail risk in the U.S. financial sector predicts real economic activity. The predictability is found to be incremental to the information content in a stock price-based measure of financial sector tail risk. This finding holds both in- and out-of-sample...
Persistent link: https://www.econbiz.de/10013046378
Cover Image
Equity premium predictability over the business cycle
Mönch, Emanuel; Stein, Tobias - 2021
The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an inverted yield curve. Thus probit models using...
Persistent link: https://www.econbiz.de/10012607106
Cover Image
Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures
Benavides, Guillermo - 2020
-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated …
Persistent link: https://www.econbiz.de/10012292347
Cover Image
The Time-Varying Leading Properties of the High Yield Spread in the United States
De Pace, Pierangelo - 2013
We propose a comprehensive empirical examination of the time-varying leading properties of two high yield spreads in the United States and compare them with the leading properties of the term spread between the mid-1980s and the end of 2011. We show that high yield spreads are not reliable...
Persistent link: https://www.econbiz.de/10013089961
Cover Image
Deep Learning, Predictability, and Optimal Portfolio Returns
Babiak, Mykola; Baruník, Jozef - 2021
We study dynamic portfolio choice of a long-horizon investor who uses deep learning methods to predict equity returns when forming optimal portfolios. Our results show statistically and economically significant benefits from using deep learning to form optimal portfolios through certainty...
Persistent link: https://www.econbiz.de/10013225327
Cover Image
Equity Premium Predictability Over the Business Cycle
Moench, Emanuel; Stein, Tobias - 2021
The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an inverted yield curve. Thus probit models using...
Persistent link: https://www.econbiz.de/10013213126
Cover Image
Economically-Linked Economies and Forecasting Chinese Stock Returns
Jordan, Steven J. - 2012
We explore whether economic links via trade affect aggregate Chinese stock market returns. We find that market return indices from countries that China net exports from can forecast the Chinese aggregate market return at the weekly time horizon. Countries that China net exports to have no...
Persistent link: https://www.econbiz.de/10013098289
Cover Image
High frequency vs. daily resolution : the economic value of forecasting volatility models
Lilla, Francesca - 2016
forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the assumptions of jumping …Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these … prices and leverage effects for volatility. Findings suggest that GARJI model provides more accurate VaR measures for the S …
Persistent link: https://www.econbiz.de/10011730304
Cover Image
High frequency vs. daily resolution : the economic value of forecasting volatility models 2nd ed
Lilla, Francesca - 2017
these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the …Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these …-data models at 5% and 1% VaR level. Specifically, independently from the data frequency, allowing for jumps in price (or providing …
Persistent link: https://www.econbiz.de/10011674479