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Real-Time Learning, Macroeconomic Uncertainty, and the Variance Risk Premium
Bianchi, Daniele - 2015
upward movements in realized market return volatility. Common wisdom connects these spikes with elevated uncertainty on … state variables and parameters. I show that infrequent, large and relatively transitory macroeconomic uncertainty shocks …, the onset of the second Gulf War, and the great financial crisis of 2008-2009. I compute macroeconomic uncertainty as the …
Persistent link: https://www.econbiz.de/10013034741
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Does machine learning prediction dampen the information asymmetry for non-local investors?
Jung, Jinwoo; Kim, Jihwan; Jin, Changha - In: International journal of strategic property management 26 (2022) 5, pp. 345-361
Persistent link: https://www.econbiz.de/10014279581
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Demand estimation with machine learning and model combination
Bajari, Patrick L.; Nekipelov, Denis N.; Ryan, Stephen; … - 2015
Persistent link: https://www.econbiz.de/10010496176
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Do markets learn to rationally expect US interest rates? : an anchoring approach
Prat, Georges; Uctum, Remzi - In: Applied economics 50 (2018) 59, pp. 6458-6480
Persistent link: https://www.econbiz.de/10012063437
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Portfolio choice with stochastic interest rates and learning about stock return predictability
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: International review of economics & finance : IREF 41 (2016), pp. 347-370
Persistent link: https://www.econbiz.de/10011624748
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An application of the Kalman filtering technique to the modelling of price expectations
Margaritis, Dimitris - In: The journal of economics 11 (1985), pp. 156-159
Persistent link: https://www.econbiz.de/10001438844
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Mixed-Frequency Predictive Regressions with Parameter Learning
Leippold, Markus; Yang, Hanlin - 2023
We explore the performance of mixed-frequency predictive regressions for stock returns from the perspective of a Bayesian investor. We develop a constrained parameter learning approach for sequential estimation allowing for belief revisions. Empirically, we find that mixed-frequency models...
Persistent link: https://www.econbiz.de/10014348997
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Term Structure and Real-Time Learning
Aguilar, Pablo - 2018
This paper introduces the term structure of interest rates into a medium-scale DSGE model. This extension results in a multi-period forecasting model that is estimated under both adaptive learning and rational expectations. Term structure information enables us to characterize agents'...
Persistent link: https://www.econbiz.de/10012928645
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Portfolio Choice with Stochastic Interest Rates and Learning About Stock Return Predictability
Escobar, Marcos - 2014
The problem of optimal wealth allocation is solved under the assumptions that interest rates are stochastic and stock returns are predictable with observed and unobserved factors. The stock risk premium is taken to be an affine function of the predictive variables and the stock return volatility...
Persistent link: https://www.econbiz.de/10013043954
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Structural breaks in the mean of dividend-price ratios : implications of learning on stock return predictability
Xuan, Chunji; Kim, Chang-jin - In: Japan and the world economy : international journal of … 55 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012590816