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Animal Spirits and Value at Risk Estimation

Andruszkiewicz, Grzegorz - 2014

In this paper we estimate behavioural factors -- Keynes' 'animal spirits' -- in the property market. An enhanced Hidden Markov Model is used, for both the Shiller Home Price Index and a consumer confidence index. We conclude that both house prices and consumer confidence are driven by another...

Persistent link: https://www.econbiz.de/10013055323

Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world

Lleo, Sébastien; Ziemba, William T. - In: International journal of forecasting 31 (2015) 2, pp. 399-425

Persistent link: https://www.econbiz.de/10011474134

A tale of two indexes : predicting equity market downturns in China

Lleo, Sébastien; Ziemba, William T. - 2018

Persistent link: https://www.econbiz.de/10012213962

Does the bond-stock earnings yield differential model predict equity market corrections better than high P/E models?

Lleo, Sébastien; Ziemba, William T. - In: Financial markets, institutions & instruments 26 (2017) 2, pp. 61-123

Persistent link: https://www.econbiz.de/10011713610

Using a mean-changing stochastic processes exit-entry model for stock market long-short prediction

Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - In: The journal of portfolio management : JPM 49 (2022) 1, pp. 172-197

Persistent link: https://www.econbiz.de/10014232181