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Forecasting Stock Returns with Model Uncertainty and Parameter Instability

Zhang, Hongwei - 2019

We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock returns. When estimated traditionally, our results confirm that the simple combination of individual predictors is superior. However, sophisticated models improve dramatically...

Persistent link: https://www.econbiz.de/10012901029

The Dynamics of Expected Returns : Evidence from Multi-Scale Time Series Modeling

Bianchi, Daniele - 2016

We show that low-order autoregression models for short-term expected returns imply long-term dynamics that have a (too) fast vanishing persistence when compared with the evidence from long-horizon predictive regressions. We then propose a novel modeling framework that exploits the low-frequency...

Persistent link: https://www.econbiz.de/10013003112

Predicting Tail Risks by a Markov Switching MGARCH Model with Varying Copula Regimes

Fülle, Markus J.; Herwartz, Helmut - 2022

To improve the dynamic assessment of risks of speculative assets, we apply a Markov switching MGARCH approach to portfolio forecasting. More specifically, we take advantage of the flexible Markov switching copula multivariate GARCH (MS-C-MGARCH) model of Fülle and Herwartz (2021). As an...

Persistent link: https://www.econbiz.de/10013405757

Time-frequency Forecast of the Equity Premium

Faria, Gonçalo - 2020

Any time series can be decomposed into cyclical components fluctuating at different frequencies. Accordingly, in this paper we propose a method to forecast the stock market's equity premium which exploits the frequency relationship between the equity premium and several predictor variables. We...

Persistent link: https://www.econbiz.de/10012835434

Modeling and Forecasting Realized Portfolio Weights

Golosnoy, Vasyl; Gribisch, Bastian - 2020

We propose direct multiple time series models for predicting high dimensional vectors of observable realized global minimum variance portfolio (GMVP) weights computed based on high-frequency intraday returns. We apply Lasso regression techniques, develop a class of multiple AR(FI)MA models for...

Persistent link: https://www.econbiz.de/10014352129

Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

Gatarek, Lukasz T. - 2014

model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … normalization for the estimation and prediction of the spread — the deviation from the equilibrium relationship — which leads to …

Persistent link: https://www.econbiz.de/10013056713

A Forecast Evaluation of Expected Equity Return Measures

Chin, Michael - 2015

Recent studies find evidence in favour of return predictability, and argue that their positive findings result from their ability to capture expected returns. We assess the forecasting performance of two popular approaches to estimating expected equity returns, a dividend discount model (DDM)...

Persistent link: https://www.econbiz.de/10013030200

Real-Time Bayesian Learning and Bond Return Predictability

Fulop, Andras; Li, Junye; Wan, Runqing - 2019

The paper examines statistical and economic evidence of out-of-sample bond return predictability for a real-time Bayesian investor who learns about parameters, hidden states, and predictive models over time. We find some statistical evidence using information contained in forward rates. However,...

Persistent link: https://www.econbiz.de/10014120968

Tactic Asset Allocation and Conditional Return Expectations

Davidsson, Marcus - 2014

We will in this paper investigate if a Tactic Asset Allocation (TAA) decision tool such as the slope of a moving average on the asset return will result in a statistical higher profit for an investor compared to a simple random investment strategy. The result indicates that a moving average...

Persistent link: https://www.econbiz.de/10013052743

Return and Dividend Expectations in the Cross-Section of Prices

Douglas, Reed - 2022

I build a price-ratio model based on the Campbell and Shiller (1988) decomposition to test which components of investor expectations best explains cross-sectional price differences. I evaluate the in- and out-of-sample performance of my model, which uses a higher-order expansion with an added...

Persistent link: https://www.econbiz.de/10014236440