Similar Search Results

Hasler, Michael - 2020

We provide empirical evidence that CAPM-betas positively predict asset returns when market returns are predicted to be high, which occurs about every other month. Consequently, the product of beta and the predicted market return (CAPM) predicts asset returns by combining the out-of-sample...

Persistent link: https://www.econbiz.de/10012849611

Mind the (convergence) gap : bond predictability strikes back!

Berardi, Andrea; Markovich, Michael; Plazzi, Alberto; … - In: Management science : journal of the Institute for … 67 (2021) 12, pp. 7888-7911

Persistent link: https://www.econbiz.de/10012815790

Forecasting value-at-risk using high-frequency information

Huang, Huiyu; Lee, Tae-hwy - In: Econometrics : open access journal 1 (2013) 1, pp. 127-140

frequency information into one model. We consider subsample averaging, bootstrap averaging, forecast averaging methods for the … the averaging methods (subsample averaging, bootstrap averaging, forecast averaging), which serve as different ways of …

Persistent link: https://www.econbiz.de/10009776365

Nonlinearity in forecasting of high-frequency stock returns

Reboredo, Juan Carlos; Matías, José M.; … - In: Computational economics 40 (2012) 3, pp. 245-264

Persistent link: https://www.econbiz.de/10010219501

Earnings information, arbitrage constraints, and the forecast dispersion anomaly

Kim, Soonho; Na, Haejung - In: Finance research letters 35 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012439091

Modeling and Forecasting Realized Volatility

Andersen, Torben G. - 2001

and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic … volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically …

Persistent link: https://www.econbiz.de/10012470566