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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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Bayesian combinations of stock price predictions with an application to the Amsterdam Exchange index
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2011
We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative...
Persistent link: https://www.econbiz.de/10011386476
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The predictive content of sectoral stock prices : a US-euro area comparison
Andersson, Magnus; D'Agostino, Antonello; Bondt, Gabe J. de - 2011
This paper examines the out-of-sample forecast performance of sectoral stock market indicators for real GDP, private consumption and investment growth up to 4 quarters ahead in the US and the euro area. Our findings are that the predictive content of sectoral stock market indicators: i) is...
Persistent link: https://www.econbiz.de/10009160029
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Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
Billio, Monica - 2012
We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic auto-regressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative...
Persistent link: https://www.econbiz.de/10013114729
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The Predictive Content of Sectoral Stock Prices : A US-Euro Area Comparison
Andersson, Magnus - 2011
This paper examines the out‐of‐sample forecast performance of sectoral stock market indicators for real GDP, private consumption and investment growth up to 4 quarters ahead in the US and the Euro Area. Our findings are that the predictive content of sectoral stock market indicators: i) is...
Persistent link: https://www.econbiz.de/10013125196
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Has COVID-19 changed the stock return-oil price predictability pattern?
Zhang, Fan; Narayan, Paresh Kumar; Devpura, Neluka - In: Financial innovation : FIN 7 (2021), pp. 1-10
In this paper, we examine if COVID-19 has impacted the relationship between oil prices and stock returns predictions using daily Japanese stock market data from 01/04/2020 to 03/17/2021. We make a novel contribution to the literature by testing whether the COVID-19 pandemic has changed this...
Persistent link: https://www.econbiz.de/10012617355
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The Impact of Inflation, GDP, Unemployment, and Money Supply On Stock Prices
Shiblee, Lena Saeed - 2010
the financial market. Four of the most important factors that affect the stock price are; inflation, GDP, unemployment …, and money supply. This paper shows the different effects of; inflation, GDP, unemployment, and money supply on stock price … inflation, because it is the closet to the investor decision. We get our data (the rate of CPI and the GDP –M1 & money supply …
Persistent link: https://www.econbiz.de/10013149597
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Linear and threshold forecasts of output and inflation using stock and housing prices
Tkacz, Greg; Wilkins, Carolyn - In: Journal of forecasting 27 (2008) 2, pp. 131-151
Persistent link: https://www.econbiz.de/10003738578
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Improving the predictability of the oil-US stock nexus : the role of macroeconomic variables
Salisu, Afees A.; Swaray, Raymond; Oloko, Tirimisiyu F. - In: Economic modelling 76 (2019), pp. 153-171
Persistent link: https://www.econbiz.de/10012198297
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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10003821063