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Structural-Break Models under Mis-specification : Implications for Forecasting
Koo, Bonsoo - 2015
This paper revisits the least squares estimator of the linear regression with a structural break. We view the model as an approximation to the true data generating process whose exact nature is unknown but perhaps changing over time either continuously or with some jumps. This view is widely...
Persistent link: https://www.econbiz.de/10013035699
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Empirical analysis of the relationship between purchasing managers index and bist industrial index under structural breaks
Şahin, Emrah; Güngör, Selim; Karaca, Süleyman Serdar - In: Financial studies 24 (2020) 3, pp. 6-22
The purpose of the study is to put forward the long-term and causality relationship between the BIST Industrial Index … and the Purchasing Managers Index (PMI) for the period January 2008-December 2018 in Turkey. First of all,the existence of … Sinai index in terms of positive and negative shocks. Therefore,with this study it can be said that the PMI is a predictor …
Persistent link: https://www.econbiz.de/10012421676
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Factors, Characteristics and Endogenous Structural Breaks : Evidence from Japan
Chou, Pin-Huang - 2011
Using an updated Japanese sample covering the 1975-2006 period, we reexamine whether it is Fama and French's (1993) three-factor model or Daniel and Titman's (1997) characteristic model that better explains stock returns in the Japanese market. In contrast to Daniel, Titman, and Wei (2001), we...
Persistent link: https://www.econbiz.de/10013121431
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Structural Breaks in U.S. Macroeconomic Time Series : A Bayesian Model Averaging Approach
Check, Adam - 2018
We investigate the evidence for structural breaks in the parameters of autoregressive models of U.S. post-war macroeconomic time series. There is substantial model uncertainty associated with such models, including uncertainty related to lag selection, the number of structural changes, and the...
Persistent link: https://www.econbiz.de/10012908055
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Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...
Persistent link: https://www.econbiz.de/10011476095
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Structural Breaks and Predictive Regressions Models of South African Equity Premium
Aye, Goodness - 2013
In this paper, we test for the structural stability of both bivariate and multivariate predictive regression models for equity premium in South Africa over the period of 1990:01 to 2010:12, based on 23 financial and macroeconomic variables. We employ a wide range of methodologies, namely, the...
Persistent link: https://www.econbiz.de/10013078301
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Bond risk premiums at the zero lower bound
Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019
This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but...
Persistent link: https://www.econbiz.de/10012181201
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Forecasting House Prices in the United States with Multiple Structural Breaks
Barari, Mahua; Sarkar, Nityananda; Kundu, Srikanta; … - In: International Econometric Review (IER) 6 (2014) 1, pp. 1-23
), we found four break points in the trend in the S&P/Case-Shiller 10 city aggregate house-price index series. Next, we …
Persistent link: https://www.econbiz.de/10012610949
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Forecasting House Prices in the United States with Multiple Structural Breaks
Barari, Mahua; Sarkar, Nityananda; Kundu, Srikanta; … - In: International Econometric Review (IER) 6 (2014) 1, pp. 1-23
), we found four break points in the trend in the S&P/Case-Shiller 10 city aggregate house-price index series. Next, we …
Persistent link: https://www.econbiz.de/10010837166
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Calibration of Credit Spread Scenarios for Monte Carlo Simulations
Dubrana, Ludovic - 2012
The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which...
Persistent link: https://www.econbiz.de/10013105185