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Using Sentiment Surveys to Predict GDP Growth and Stock Returns
Guzman, Giselle - 2012
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10013110732
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Temperature anomalies, long memory, and aggregation
Vera-Valdés, J. Eduardo - In: Econometrics : open access journal 9 (2021) 1/9, pp. 1-22
Econometric studies for global heating have typically used regional or global temperature averages to study its long memory properties. One typical explanation behind the long memory properties of temperature averages is cross-sectional aggregation. Nonetheless, formal analysis regarding the...
Persistent link: https://www.econbiz.de/10012483296
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall Keith - 2009
losses to ES forecasts. Backtesting results show that only our proposed new hybrid and Extreme Value (EV)-based VaR models …
Persistent link: https://www.econbiz.de/10003891679
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Hybrid Historical Simulation VaR and ES : Performance in Developed and Emerging Markets
Zikovic, Sasa - 2009
losses to ES forecasts. Backtesting results show that only our proposed new hybrid and Extreme Value (EV)-based VaR models …
Persistent link: https://www.econbiz.de/10013155427
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Phenotypic Convergence of Cryptocurrencies
Pele, Daniel Traian - 2020
The aim of this paper is to prove the phenotypic convergence of cryptocurrencies, in the sense that individual cryptocurrencies respond to similar selection pressures by developing similar characteristics. In order to retrieve the cryptocurrencies phenotype, we treat cryptocurrencies as...
Persistent link: https://www.econbiz.de/10012827654
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Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant...
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...
Persistent link: https://www.econbiz.de/10013403261
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Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...
Persistent link: https://www.econbiz.de/10013405318
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New forecasting methods for an old problem : predicting 147 years of systemic financial crises
Plessis, Emile du; Fritsche, Ulrich - 2022
to assess performance through recursive out-of-sample forecasts. Findings suggest fixed capital formation is the most … percent correct forecasts. Top models contribute added value above 20 percentage points in most instances and deals with a …
Persistent link: https://www.econbiz.de/10013362692
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Modeling international stock market contagion using multivariate fractionally integrated APARCH approach
Mighri, Zouheir; Mansouri, Fayçal - In: Cogent economics & finance 2 (2014) 1, pp. 1-25
The aim of this article is to examine how the dynamics of correlations between two emerging countries (Brazil and Mexico) and the US evolved from January 2003 to December 2013. The main contribution of this study is to explore whether the plunging stock market in the US, in the aftermath of...
Persistent link: https://www.econbiz.de/10010490457
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Short-term Forecasting of the COVID-19 Pandemic using Google Trends Data : Evidence from 158 Countries
Fantazzini, Dean - 2020
The ability of Google Trends data to forecast the number of new daily cases and deaths of COVID-19 is examined using a dataset of 158 countries. The analysis includes the computations of lag correlations between confirmed cases and Google data, Granger causality tests, and an out-of-sample...
Persistent link: https://www.econbiz.de/10012826063