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Linear predictability vs. bull and bear market models in strategic asset allocation decisions : evidence from UK data
Guidolin, Massimo; Hyde, Stuart - 2012
Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets...
Persistent link: https://www.econbiz.de/10009658243
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On Long Memory Behaviour and Predictability of Financial Markets
Vo, Long - 2017
An immediate consequence of the Efficient Market Hypothesis (EMH) is the absence of auto-correlation of the return series of the financial prices and the exclusion of excess profitability made by any (active) trading strategy. However, the precondition for the validity of EMH, which assumes that...
Persistent link: https://www.econbiz.de/10012956295
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Time-frequency Forecast of the Equity Premium
Faria, Gonçalo - 2020
paper we propose a method to forecast the stock market's equity premium which exploits the frequency relationship between …
Persistent link: https://www.econbiz.de/10012835434
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The One-Trading-Day-Ahead Forecast Errors of Intra-Day Realized Volatility
Degiannakis, Stavros Antonios - 2018
Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility … forecasting accuracy. Additionally, we explore the forecasting accuracy based on the squared distance of the forecast error …
Persistent link: https://www.econbiz.de/10012910114
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Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US
Haase, Felix; Neuenkirch, Matthias - 2021
-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …
Persistent link: https://www.econbiz.de/10012416151
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Time-frequency forecast of the equity premium
Faria, Gonçalo; Verona, Fabio - 2020
paper we propose a method to forecast the stock market's equity premium which exploits the frequency relationship between …
Persistent link: https://www.econbiz.de/10012208225
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Forecasting Stock Prices with a News-Based Model
Schmidt, Anatoly B. - 2022
It is assumed in the news-based model (NBM) that stock prices are determined with macroeconomic news (modeled with the total market return in the spirit of CAPM), industry news (modeled with the relevant industry ETF returns), and the company-specific news and momentum that are described using...
Persistent link: https://www.econbiz.de/10014239426
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Wendepunkte in Finanzmärkten : Prognose und asset allocation
Huber, Claus - 2000
Persistent link: https://www.econbiz.de/10001461424
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618
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The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - 2011
This paper addresses the open debate about the effectiveness and practical relevance of highfrequency (HF) data in portfolio allocation. Our results demonstrate that when used with proper econometric models, HF data offers gains over daily data and more importantly these gains are maintained...
Persistent link: https://www.econbiz.de/10009306337