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Can we use volatility to diagnose financial bubbles? : lessons from 40 historical bubbles

Sornette, Didier; Cauwels, Peter; Smilyanov, Georgi - In: Quantitative finance and economics 2 (2018) 1, pp. 1-105

Persistent link: https://www.econbiz.de/10012137897

Predicting Inflation Without Running Predictive Regressions

Hua, Jian - 2014

Inflation rates are highly persistent and extremely difficult to predict. Most statistical predictions based on predictive regressions fail to outperform the simple assumption of random walk in out-of-sample testing. The poor out-of-sample performance is a common feature of predictive...

Persistent link: https://www.econbiz.de/10013057346

Fundamentals unknown : momentum, mean-reversion and price-to-earnings trading in an artificial stock market

Schasfoort, Joeri; Stockermans, Christopher - 2017

The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...

Persistent link: https://www.econbiz.de/10011723700

Stock Market Bubbles and the Forecastability of Goldreturns (and Volatility)

Gabauer, David; Gupta, Rangan; Karmakar, Sayar; … - 2023

Firstly, we use the Multi-Scale LPPLS Confidence Indicator approach to detectboth positive and negative bubbles at … forecast gold returns and its volatility, usinga method involving block means of residuals obtained from the popular … that, our bubbles indicators,particularly when both positive and negative bubbles are considered simultaneously …

Persistent link: https://www.econbiz.de/10014353907

Disciplining expectations and the forward guidance puzzle

Müller, Tobias; Christoffel, Kai; Mazelis, Falk; … - 2020

argue that the reduced volatility of the agents' expectations dampens the model reactions to forward guidance shocks and …

Persistent link: https://www.econbiz.de/10012241110

Booms and busts in asset prices : risk modeling, bubble detection, and the role of monetary policy

Beckers, Benjamin - 2017

Persistent link: https://www.econbiz.de/10012659432

A note of caution on the relation between money growth and inflation

Berger, Helge; Karlsson, Sune; Österholm, Pär - 2023

We assess the bivariate relation between money growth and inflation in the euro area and the United States using hybrid time-varying parameter Bayesian VAR models. Model selection based on marginal likelihoods suggests that the relation is statistically unstable across time in both regions. The...

Persistent link: https://www.econbiz.de/10014252440

The effectiveness of central bank purchases of long-term treasury securities : a neural network approach

Tänzer, Alina - 2024

Central bank intervention in the form of quantitative easing (QE) during times of low interest rates is a controversial topic. This paper introduces a novel approach to study the effectiveness of such unconventional measures. Using U.S. data on six key financial and macroeconomic variables...

Persistent link: https://www.econbiz.de/10014532350

Risk of Bitcoin Market : Volatility, Jumps, and Forecasts

Hu, Junjie - 2020

as futures and options. Those will depend on the dynamics, volatility, or even the jumps of cryptos. In this paper, the … risk characteristics for Bitcoin are analyzed from a realized volatility dynamics view. The realized variance RV is …

Persistent link: https://www.econbiz.de/10012827656

Price dividend ratio and long-run stock returns : a score driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020

In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012156426

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