Similar Search Results

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...

Persistent link: https://www.econbiz.de/10011721618

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - In: The journal of finance : the journal of the American … 72 (2017) 6, pp. 2717-2758

Persistent link: https://www.econbiz.de/10012160151

Measuring market expectations

Baumeister, Christiane - 2021

Persistent link: https://www.econbiz.de/10012613628

Score-driven models for realized volatility

Harvey, Andrew C.; Palumbo, Dario - 2019

Persistent link: https://www.econbiz.de/10012703124

Value at risk (VaR) analysis for fat tails and long memory in returns

Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230

Persistent link: https://www.econbiz.de/10011684346

The nonlinear effects of uncertainty shocks

Jackson, Laura; Kliesen, Kevin L.; Owyang, Michael T. - 2018

Persistent link: https://www.econbiz.de/10011950514

Reconciled estimates of monthly GDP in the US

Koop, Gary; McIntyre, Stuart; Mitchell, James; Poon, Aubrey - 2022

Persistent link: https://www.econbiz.de/10012822269

Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR

Gupta, Rangan; Olson, Eric; Wohar, Mark E. - In: Journal of forecasting 36 (2017) 6, pp. 640-650

Persistent link: https://www.econbiz.de/10011861401

The role of economic policy uncertainty in predicting U.S. recessions : a mixed-frequency Markov-switching vector autoregressive approach

Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016

This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MSVAR) model, and compare its in-sample and...

Persistent link: https://www.econbiz.de/10011443536

Monetary policy, output composition, and the great moderation

Mojon, Benoît (contributor) - 2007

"This paper shows how US monetary policy contributed to the drop in the volatility of US output fluctuations and to the ….e. changes in the size of monetary policy shocks, affect both the correlation between output components and their volatility. A … regime of high volatility in monetary policy shocks, that spanned from 1970 to 1975 and from 1979 to 1984 is characterized by …

Persistent link: https://www.econbiz.de/10003497260