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The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH framework. In particular, we propose realized semi-covariance between falling equity and rising safe haven returns as a proxy of FTS and we use it to model the conditional distribution...
Persistent link: https://www.econbiz.de/10012916710
This paper provides a formula for a commonly used measure of the economic value of asset return predictability. In doing this, we find that there is a strong connection between this measure and a traditional statistical measure of predictive quality. In particular, we demonstrate that the...
Persistent link: https://www.econbiz.de/10010972075
This paper investigates the relationship between the performance of equity and the length of the investment horizon used by investors. We examine optimal portfolio time diversification and two definitions of "ex ante" time diversification. Using almost two centuries of US and UK data we find...
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This paper investigates the impact of the timeliness of information releases and data vintage variation on economic forecast quality. Specifically, using a set of 63 key US economic series, we provide a concise measure of the forecast accuracy associated with use of economic activity indices...
Persistent link: https://www.econbiz.de/10010758679
This paper provides evidence in favour of the hypothesis that precious metals (gold, silver, platinum) act as short-run and long-run hedges against inflation. Using robust estimation techniques, this ability to hedge inflation is concentrated in the period before 1939 and around the second OPEC...
Persistent link: https://www.econbiz.de/10009206796