A number of recent studies in the economics literature have focused on the usefulness of factor models in the context of prediction using "big data". In this paper, our over-arching question is whether such "big data" are useful for modelling low frequency macroeconomic variables such as...

This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...

This paper presents a factor-based forecasting model for the financial market vulnerability in the U.S. We estimate latent common factors via the method of the principal components from 170 monthly frequency macroeconomic data to out-of-sample forecast the Cleveland Financial Stress Index. Our...

Using a trading system based on various simple moving average crossings, the paper examines the weak-form market efficiency of the wheat traded at the Euronext exchange. After optimizing over the sample period, the best strategy is selected and then applied over the out-of-sample period. The...

[Einleitung ...] Dieser Artikel hat das Ziel, die Bewertung von Unternehmen mit Hilfe der Monte-Carlo-Simulation darzustellen. Dazu wird im nächsten Abschnitt zunächst eine Übersicht über die gängigen Verfahren zur Unternehmensbewertung gegeben, bevor im dritten Abschnitt die Grundlagen der...

The objective of our work is to analyze the forecast performance of the dynamic Nelson-Siegel yield curve model and, for comparison, the first order autoregressive (AR(1)) model applied to a set of US bond yield data that covers a large timespan from November 1971 to December 2008. As a...

Three mutually uncorrelated economic disturbances that we measure empirically explain 85% of the quarterly variation in real stock market wealth since 1952. A model is employed to interpret these disturbances in terms of three latent primitive shocks. In the short run, shocks that affect the...

In this paper, we explore the relevance of asymmetry, long memory and fat tails in modeling and forecasting the conditional volatility and market risk for the Gulf Cooperation Council (GCC) stock markets. Various linear and non-linear long-memory GARCH-class models under three density functions...

This paper seeks to explore whether voluntary disclosure level affects the value relevance of accounting information from an investor’s perspective on Kuwait Stock Exchange (KSE). Based on the assumption that an increased focus on the informational needs of investors should increase the value...

El número consta de catorce artículos. Los dos primeros son teóricos, sobre redes no cooperativas en modelos de oligopolio de Stackelberg y la noción de justicia en Smith y Sen. Otros artículos tratan sobre desigualdad, segregación en la escuela, bienestar subjetivo, economía ambiental y...