Narrow search
Showing 1 - 10 of 152,728
Cover Image
Inflation, Interest Rates and the Predictability of Stock Returns
Časta, Martin - 2023
This paper focuses on the predictive role of inflation and interest rates in forecasting stock returns. We report … economically significant in-sample evidence that stock returns are predictable using cyclical components of inflation and interest … the fact that both inflation and interest rates contain stochastic trends. Accounting for changes in trend inflation (and …
Persistent link: https://www.econbiz.de/10014353180
Cover Image
Aktienindexprognosen mit Fehlerkorrekturmodellen und dem ökonomisch relevanten Zins
Sauer, Egbert - 1995
Persistent link: https://www.econbiz.de/10000919875
Cover Image
The time-varying nature of risk aversion : evidence from 60 years of U.S. stock market data
Pépin, Dominique; Miller, Stephen M. - 2020
Persistent link: https://www.econbiz.de/10012391037
Cover Image
Forecasting volatility under fractality, regime-switching, long memory and student-t innovations
Lux, Thomas; Morales-Arias, Leonardo - 2009
(GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …
Persistent link: https://www.econbiz.de/10003864486
Cover Image
Stock index volatility forecasting with high frequency data
Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002
The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...
Persistent link: https://www.econbiz.de/10011326944
Cover Image
Forecasting stock returns under economic constraints
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - 2013
Persistent link: https://www.econbiz.de/10009734264
Cover Image
Forecasting stock returns under economic constraints
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - 2013
Persistent link: https://www.econbiz.de/10010231826
Cover Image
Stylized facts and dynamic modeling of high-frequency data on precious metals
Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gebriel G. - 2013
Persistent link: https://www.econbiz.de/10010407620
Cover Image
Parameter estimation and forecasting for multiplicative lognormal cascades
Leövey, Andrés E.; Lux, Thomas - 2011
Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …
Persistent link: https://www.econbiz.de/10009389845