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Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US
Haase, Felix; Neuenkirch, Matthias - 2021 - This Version: January 8, 2021
The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...
Persistent link: https://www.econbiz.de/10012180543
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Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence
Guidolin, Massimo - 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/10013136656
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Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence
Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - 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/10014190297
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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
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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
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Superstatistical Fluctuations in Time Series of Leverage Returns
Katz, Yuri A. - 2013
Fat tails of q-Gaussian distributions of daily log-leverage-returns of 520 North American industrial firms reported by Katz and Tian (2013) imply a significantly higher credit risk at short time-horizons and/or large initial distances to the default barrier than forecasted by traditional...
Persistent link: https://www.econbiz.de/10013072548
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Effects of multiple financial news shocks on tourism demand volatility modelling and forecasting
Zhang, Yuruixian; Choo, Wei Chong; Yuhanis Abdul Aziz; … - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-47
economics and financial markets, the effects of combining multiple news shocks on the volatility of tourism demand have not yet …), conditional heteroscedastic volatility models, and multiple news shocks are suitable for forecasting the volatility of the … Malaysian tourist industry. Among them, three primarily volatility models (GARCH, EGARCH, and GJRGARCH) are used in conjunction …
Persistent link: https://www.econbiz.de/10013369139
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The volatility connectedness between oil and stocks : evidence from the G7 markets
BenMabrouk, Houda - In: Financial Market Dynamics after COVID 19 : The …, (pp. 67-99). 2022
Persistent link: https://www.econbiz.de/10013198542
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618
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Forecasting stock market volatility : the role of technical variables
Liu, Li; Pan, Zhiyuan - In: Economic modelling 84 (2020), pp. 55-65
Persistent link: https://www.econbiz.de/10012210290