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How does inter-industry spillover improve the performance of volatility forecasting?
Liu, Bin; Xiao, Wen; Zhu, Xingting - In: The North American journal of economics and finance : a … 65 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014309851
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Predicting R&D investment with "ex ante" productivity
Bednarek, Ziemowit - In: Applied economics letters 21 (2014) 13/15, pp. 1079-1082
Persistent link: https://www.econbiz.de/10010418203
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R&D Spillover and Predictable Returns
Jiang, Yi - 2015
abnormal operating performance despite having no aggressive R&D growth. Exogenous industry shocks to demand or productivity do …
Persistent link: https://www.econbiz.de/10013036461
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News Co-Occurrence, Attention Spillover, and Return Predictability
Guo, Li - 2018
We examine the effect of investor attention spillover on stock return predictability. Using a novel measure, the News Network Triggered Attention index (NNTA), we find that NNTA negatively predicts market returns with a monthly in(out)-of-sample R-square of 5.97% (5.80%). In the cross-section, a...
Persistent link: https://www.econbiz.de/10012934530
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The Idea Multiplier : An Innovation in Predicting Productivity
Davis, Joseph H. - 2020
The persistent downturn in productivity growth during the past two decades has cast doubts on global economic prospects …. Frequently cited causes include a dearth of productivity-enhancing ideas, an aging population, and a shift to service …-based economies. While we acknowledge the role each of these has played, our research shows that productivity is fundamentally driven …
Persistent link: https://www.econbiz.de/10012822912
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Estimating uncertainties using judgmental forecasts with expert heterogeneity
Bansal, Saurabh; Gutierrez, Genaro J. - In: Operations research 68 (2020) 2, pp. 363-380
Persistent link: https://www.econbiz.de/10012213337
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Risk and return on technology stocks and the aggregate stock market
Khatchatrian, Varoujan - 2004
Persistent link: https://www.econbiz.de/10003384712
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Aggregate accounting research and development expenditures and the prediction of real gross domestic product
Collins, Daniel W.; Nguyen, Nhat Q. - In: Journal of accounting and public policy 41 (2022) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10013207615
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Exploiting spillovers to forecast crashes
Gresnigt, Francine; Kole, Erik; Franses, Philip Hans - 2015
We develop Hawkes models in which events are triggered through self as well as cross-excitation. We examine whether incorporating cross-excitation improves the forecasts of extremes in asset returns compared to only self-excitation. The models are applied to US stocks, bonds and dollar exchange...
Persistent link: https://www.econbiz.de/10011376256
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High frequency price change spillovers in bitcoin markets
Giudici, Paolo; Pagnottoni, Paolo - In: Risks : open access journal 7 (2019) 4/111, pp. 1-18
The study of connectedness is key to assess spillover effects and identify lead-lag relationships among market exchanges trading the same asset. By means of an extension of Diebold and Yilmaz (2012) econometric connectedness measures, we examined the relationships of five major Bitcoin exchange...
Persistent link: https://www.econbiz.de/10012127873