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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
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Stock price booms and expected capital gains
Adam, Klaus; Beutel, Johannes; Marcet, Albert - 2014
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explained by fluctuations in investors' subjective capital gains expectations. Survey measures of these expectations display excessive optimism at market peaks and excessive pessimism at market throughs....
Persistent link: https://www.econbiz.de/10011490485
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Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US
Bohl, Martin T.; Siklos, Pierre L. - 2001
speculative bubbles and/or noise trading behavior. Our empirical findings for the US stock market covering the 1871:1 - 2000 …
Persistent link: https://www.econbiz.de/10010503717
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10011431370
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Forecasting US Stock Returns
McMillan, David G. - 2018
We forecast quarterly US stock returns using eighteen predictor variables both individually and in multivariate regressions, with the former also used in forecast combinations. Using rolling and recursive approaches, we consider a range of statistical and economic evaluation measures. We...
Persistent link: https://www.econbiz.de/10012909692
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Price Discovery in the Dual-Platform US Treasury Market
Dunne, Peter G. - 2011
Inter-dealer trading in US Treasury Securities is almost equally divided between two similar electronic trading platforms. This provides a natural experiment within which to test the propositions of Bloomfield & O'Hara (1999 and 2000) about price discovery in fragmented markets. We examine the...
Persistent link: https://www.econbiz.de/10013130655
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Price Discovery in the Dual-Platform US Treasury Market
Dunne, Peter G. - 2011
Inter-dealer trading in US Treasury Securities is almost equally divided between two similar electronic trading platforms. BrokerTec is more active in the trading of 2-, 5-, and 10-year T-notes while eSpeed has more active trading in the 30-year bond. eSpeed provides a more pre-trade transparent...
Persistent link: https://www.econbiz.de/10013131615
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Momentum investing : evidence from the US tourism and hospitality
Shaker Ahmed, Mohamed - In: European journal of management and business economics : … 31 (2022) 3, pp. 269-284
Purpose - The present research aims to examine a range of momentum trading strategies for the tourism and hospitality … that none of these momentum investing strategies was profitable. Most of the results, however, show positive, but … insignificant momentum returns. This finding can be interpreted as price reversal over a horizon of three to twelve months in the US …
Persistent link: https://www.econbiz.de/10013330980
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Generalized dynamic factor model + GARCH exploiting multivariate information for univariate prediction
Alessi, Lucia (contributor); Barigozzi, Matteo (contributor) - 2007
We propose a new model for volatility forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the GARCH model. The GDFM, applied to a large number of series, captures the multivariate information and disentangles the common and the idiosyncratic part of each series of returns....
Persistent link: https://www.econbiz.de/10003321460
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Stock market valuation in the United States
Bisciari, Patrick; Durré, Alain; Nyssens, Alain - 2003
are, according to the discount dividend model, annual earnings and, according to Q-theory, net worth. In December 2002 … occasions were the so-called 1929 and 2000 bubbles. The models showed that, at some point in time before the peak in (real …
Persistent link: https://www.econbiz.de/10011622359