Narrow search
Showing 1 - 10 of 1,323
Cover Image
International Stock Return Predictability Under Model Uncertainty
Schrimpf, Andreas - 2008
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...
Persistent link: https://www.econbiz.de/10010298059
Cover Image
Zur Qualität professioneller Wechselkursprognosen
Schmidt, Robert - 2003
Die Berücksichtigung der zukünftigen Entwicklung des Wechselkurses ist sowohl für internationale Unternehmen als auch für international tätige Investoren unabdingbar. Allerdings ist die Erstellung von Wechsel- kursprognosen schwierig, da bis zum heutigen Zeitpunkt kein allgemein anerkanntes...
Persistent link: https://www.econbiz.de/10010305747
Cover Image
Forecasting high-yield bond spreads using the loan market as leading indicator
Simmons-Süer, Banu - 2013
model are shown to be superior to naive models. …
Persistent link: https://www.econbiz.de/10010319718
Cover Image
Does foreign information predict the returns of multinational firms worldwide?
Finke, Christian; Weigert, Florian - 2015 - This version: September 2015
We investigate whether value-relevant foreign information only gradually dilutes into stock prices of multinational …
Persistent link: https://www.econbiz.de/10011344380
Cover Image
Forecasting high-yield bond spreads using the loan market as leading indicator
Simmons-Süer, Banu - 2013
model are shown to be superior to naive models. …
Persistent link: https://www.econbiz.de/10009707628
Cover Image
Variance risk premiums in foreign exchange markets
Ammann, Manuel; Buesser, Ralf - 2013
Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of...
Persistent link: https://www.econbiz.de/10010410031
Cover Image
Modeling and forecasting currency in circulation for liquidity management in Nigeria
Ikoku, Alvan - In: CBN journal of applied statistics 5 (2014) 1, pp. 79-104
Nigeria. Forecasts were produced using ARIMA, ARIMA with structural variables, VAR and VEC models. The performance of the … rolling forecasts. We found that the most accurate models were mixed models with structural as well as ARIMA components …
Persistent link: https://www.econbiz.de/10011474285
Cover Image
The Variance Risk Premium Around the World
Londono, Juan M. - 2011
This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the basic stylized facts traditionally documented for the US. I show that while the variance premiums in several countries are, on average, positive and display significant time...
Persistent link: https://www.econbiz.de/10013128804
Cover Image
What Does the Yield Curve Tell Us About Exchange Rate Predictability?
Chen, Yu-Chin - 2010
rate determination, which models the nominal exchange rate as the discounted present value of its expected future …
Persistent link: https://www.econbiz.de/10013134797
Cover Image
The Volatility Forecasting of Tehran & International Stock Exchanges
Khaleghi Moghaddam, Hamid - 2010
Stock prices are one of the most volatile economic variables and forecasting stock prices and their returns has proved … very challenging, if not impossible. In this paper, we apply a battery of linear and nonlinear models to forecast the … returns in nine international stock exchanges for the period 1998-2008. The models are random walk, historical mean, moving …
Persistent link: https://www.econbiz.de/10013138023