Similar Search Results

Forecasting Stock Returns with Large Dimensional Factor Models

Giovannelli, Alessandro - 2020

We study equity premium out-of-sample predictability by extracting the information contained in a high number of macroeconomic predictors via large dimensional factor models. We compare the well known factor model with a static representation of the common components with a more general model...

Persistent link: https://www.econbiz.de/10012854353

Forecast Bankruptcy Using a Blend of Clustering and MARS Model - Case of US Banks

Affes, Zeineb - 2016

In this paper, we compare the performance of two non-parametric methods of classification, Regression Trees (CART) and …, MARS provides, in average, better correct classification rate than CART model ii) Hybrid approach significantly enhances … the classification accuracy rate for both the training and the testing samples iii) MARS prediction underperforms when the …

Persistent link: https://www.econbiz.de/10012985092

From Large to Vast : Composite Forecasting of Vast-Dimensional Realized Covariance Matrices Using Factor State-Space Models

Hartkopf, Jan P. - 2021

We propose a dynamic factor state-space model for the prediction of high-dimensional realized covariance matrices of asset returns. Using a block LDL decomposition of the joint covariance matrix of assets and factors, we express the realized covariance matrix of the individual assets similar to...

Persistent link: https://www.econbiz.de/10013246801

Directional predictability of daily stock returns

Becker, Janis; Leschinski, Christian - 2018 - This version: January 12, 2018

these returns and generate forecasts using various statistical classification techniques, such as logistic regression …

Persistent link: https://www.econbiz.de/10011813537

Review of research into enterprise bankruptcy prediction in selected Central and Eastern European countries

Prusak, Błażej - In: International Journal of Financial Studies : open … 6 (2018) 3, pp. 1-28

In developed countries, the first studies on forecasting bankruptcy date to the early 20th century. In Central and Eastern Europe, due to, among other factors, the geopolitical situation and the introduced economic system, this issue became the subject of researcher interest only in the 1990s....

Persistent link: https://www.econbiz.de/10011884198

Equity Premium Prediction by Sparse Pooling of Parsimonious State-Dependent Models

de Almeida, Daniel - 2018

A large set of macroeconomic variables have been suggested as equity risk premium predictors in the literature. This paper proposes a forecasting approach for the equity risk premium with two novel features. First, individual month-ahead forecasts are obtained from parsimonious threshold...

Persistent link: https://www.econbiz.de/10012913585

Forecasting Market States

Procacci, Pier Francesco - 2018

classification of 'bull' and 'bear' markets. In another experiment, with again one hundred log-returns and two states, we demonstrate …

Persistent link: https://www.econbiz.de/10012914488

Anomaly Predictability with the Mean-Variance Portfolio

Favero, Carlo A.; Melone, Alessandro; Tamoni, Andrea - 2023

According to no-arbitrage, risk-adjusted returns should be unpredictable. Using several prominent factor models and a large cross-section of anomalies, we find that past pricing errors predict future risk-adjusted anomaly returns. We show that past pricing errors can be interpreted as deviations...

Persistent link: https://www.econbiz.de/10014348676

Forecasting Stock Returns

Rapach, David; Zhou, Guofu - 2023

We survey the literature on stock return forecasting, highlighting the challenges faced by forecasters as well as strategies for improving return forecasts. We focus on U.S. equity premium forecastability and illustrate key issues via an empirical application based on updated data. Some studies...

Persistent link: https://www.econbiz.de/10014351279

Modelling and trading the English stock market with new forecasting techniques

Karathanasopoulos, Andreas - In: Economics and Business Letters : EBL 5 (2016) 2, pp. 50-57

The motivation of this paper is to introduce a short term adaptive model (Partial Swarm Optimizer combined with linear and nonlinear models when applied to the task of forecasting and trading the daily closing returns of the FTSE100 exchange traded funds (ETFs). This is done by benchmarking its...

Persistent link: https://www.econbiz.de/10011573208