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Forecasting multiple-term structures from interbank rates
Lafuente, Juan Angel; Petit, Nuria; Serrano, Pedro - In: International review of financial analysis 57 (2018), pp. 40-56
Persistent link: https://www.econbiz.de/10012006308
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Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability
Vogl, Markus; Roetzel, Peter Gordon - 2021
In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...
Persistent link: https://www.econbiz.de/10013229642
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Forecast uncertainty and the taylor rule
Bauer, Christian; Neuenkirch, Matthias - 2015
uncertainty of inflation and GDP growth forecasts into an otherwise standard New Keynesian model. We show that certainty … reaction function which includes the uncertainty of macroeconomic expectations. To test the model empirically, we use the … standard deviation of individual forecasts around the median Consensus Forecast as proxy for forecast uncertainty. Our sample …
Persistent link: https://www.econbiz.de/10010512077
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Forecast uncertainty and the Taylor rule
Bauer, Christian; Neuenkirch, Matthias - In: Journal of international money and finance 77 (2017), pp. 99-116
Persistent link: https://www.econbiz.de/10011788094
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Decomposing Federal Funds Rate forecast uncertainty using time-varying Taylor rules and real-time data
Mandler, Martin - In: The North American journal of economics and finance : a … 23 (2012) 2, pp. 228-245
Persistent link: https://www.econbiz.de/10009673822
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Predicting the unpredictable : value-at-risk, performativity, and the politics of financial uncertainty
Lockwood, Erin - In: Review of international political economy : RIPE 22 (2015) 4, pp. 719-756
Persistent link: https://www.econbiz.de/10011372868
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Stock return predictability of residual-income-based valuation : risk or mispricing?
Hwang, Lee Seok; Lee, Woo-jong - In: Abacus : a journal of accounting, finance and business … 49 (2013) 2, pp. 219-241
Persistent link: https://www.econbiz.de/10009769203
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Financial uncertainty, risk aversion and monetary policy
Inekwe, Nkwoma John - In: Empirical economics : a journal of the Institute for … 51 (2016) 3, pp. 939-961
Persistent link: https://www.econbiz.de/10011554354
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Distribution forecast targeting in an open-economy, macroeconomic volatility and financial implications
Flamini, Alessandro; Milas, Costas - In: Journal of financial stability 16 (2015), pp. 89-105
Persistent link: https://www.econbiz.de/10011573962
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Nutzung von Informationsineffizienzen für Zeitreihenprognosen zum Credit-Default-Swap-Markt
Bußmann, Philip - 2016
Persistent link: https://www.econbiz.de/10011454959