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Biases of professional exchange rate forecasts : psychological explanations and an experimentally based comparison to novices
Leitner, Johannes; Schmidt, Robert; Bofinger, Peter - 2003
reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat native … environment, we analyse the forecasting behaviour of students experimentally, using a simulated currency series. Our results … indicate that a topically oriented trend adjustment behaviour (TOTA) is a general characteristic of human forecasting behaviour …
Persistent link: https://www.econbiz.de/10010498976
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News media vs. FRED-MD for macroeconomic forecasting
Ellingsen, Jon; Larsen, Vegard Høghaug; Thorsrud, Leif … - 2020
-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature … for forecasting consumption developments. …
Persistent link: https://www.econbiz.de/10012417502
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News media vs. FRED-MD for macroeconomic forecasting
Ellingsen, Jon; Larsen, Vegard Høghaug; Thorsrud, Leif … - 2020
-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature … for forecasting consumption developments. …
Persistent link: https://www.econbiz.de/10012304069
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Super-exponential growth expectations and the global financial crisis
Leiss, Matthias; Nax, Heinrich H.; Sornette, Didier - 2014
We construct risk-neutral return probability distributions from S&P 500 options data over the decade 2003 to 2013, separable into pre-crisis, crisis and post-crisis regimes. The pre-crisis period is characterized by increasing realized and, especially, option-implied returns. This translates...
Persistent link: https://www.econbiz.de/10010443041
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Machine learning, human experts, and the valuation of real assets
Aubry, Mathieu; Kräussl, Roman; Manso, Gustavo; … - 2019
We study the accuracy and usefulness of automated (i.e., machine-generated) valuations for illiquid and heterogeneous real assets. We assemble a database of 1.1 million paintings auctioned between 2008 and 2015. We use a popular machine-learning technique - neural networks - to develop a pricing...
Persistent link: https://www.econbiz.de/10012115356
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Realized copula
Fengler, Matthias R.; Okhrin, Ostap - 2012
We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...
Persistent link: https://www.econbiz.de/10009537332
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The divergence of the high and low frequency estimation : causes and consequences
Kinlaw, William; Kritzman, Mark; Turkington, David - 2014 - This version: May 2, 2014
Financial analysts typically estimate volatilities and correlations from monthly or higher frequency returns when determining the optimal composition of a portfolio. Although it is widely acknowledged that these measures are not necessarily stationary across samples, most analysts assume...
Persistent link: https://www.econbiz.de/10010353307
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The divergence of high- and low-frequency estimation : implications for performance measurement
Kinlaw, William; Kritzman, Mark; Turkington, David - 2014 - This version: July 24, 2014
The Sharpe ratio is the most widely used metric for comparing performance across investment managers and strategies, and the information ratio is as commonly used to evaluate performance relative to a benchmark. Although it is widely recognized that non-linearities arising from the inclusion of...
Persistent link: https://www.econbiz.de/10010387204
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Empirical pricing kernels and investor preferences
Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2007
This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...
Persistent link: https://www.econbiz.de/10003633572
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Oil prices, exchange rates and sectoral stock returns in the BRICS-T countries : a time-varying approach
Caporale, Guglielmo Maria; Catik, A. Nazif; Kışla, … - 2021
This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...
Persistent link: https://www.econbiz.de/10012625861