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Structural Breaks and Predictive Regressions Models of South African Equity Premium
Aye, Goodness - 2013
In this paper, we test for the structural stability of both bivariate and multivariate predictive regression models for equity premium in South Africa over the period of 1990:01 to 2010:12, based on 23 financial and macroeconomic variables. We employ a wide range of methodologies, namely, the...
Persistent link: https://www.econbiz.de/10013078301
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Forecasting Nigerian Stock Exchange Returns : Evidence from Autoregressive Integrated Moving Average (ARIMA) Model
Emenike, Kalu O. - 2010
stock prices across the globe. Forecasting stock prices will provide a way to anticipate and perhaps avoid the risk of a …
Persistent link: https://www.econbiz.de/10013141530
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Expected Returns and Volatility of Fama-French Factors
Chabi-Yo, Fousseni - 2010
risk premium and other popular predictor variables such as P/D ratio, the P/E ratio, the default spread, and the …
Persistent link: https://www.econbiz.de/10013150662
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The VIX, the Variance Premium and Stock Market Volatility
Bekaert, Geert - 2014
We decompose the squared VIX index, derived from US S&P500; options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then...
Persistent link: https://www.econbiz.de/10013054678
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GARCH Models for Daily Stock Returns : Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
Ardia, David - 2014
returns for constituents of the S&P 500 index. We assess the implication for one-day ahead 95% and 99% Value-at-Risk (VaR …
Persistent link: https://www.econbiz.de/10013064474
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Sector Level Equity Returns Predictability with Machine Learning and Market Contagion Measure
Peng, Weijia; Yao, Chun - 2023
In this paper, we develop new latent risk measures that are designed as a prior synthesis of key forecasting …
Persistent link: https://www.econbiz.de/10014256827
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Modeling and Forecasting Realized Range Volatility
Caporin, Massimiliano - 2011
In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the quadratic variation of financial prices. This estimator was early introduced in the literature and it is based on the high-low range observed at high frequency during the day. We...
Persistent link: https://www.econbiz.de/10013130487
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Predicting Risk with Risk Measures : An Empirical Study
Bräutigam, Marcel - 2018
In this study we consider the risk estimation as a stochastic process based on the Sample Quantile Process (SQP …) - which is a generalization of the Value-at-Risk calculated on a rolling sample. Using SQP's, we are able to show and quantify … the pro-cyclicality of the current way financial institutions measure their risk. Analysing 11 stock indices, we show that …
Persistent link: https://www.econbiz.de/10012919289
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Measuring uncertainty and uncertainty dispersion from a large set of model predictions
Ardia, David; Dufays, Arnaud - 2021
methodology with expected shortfall predictions of worldwide equity indices generated from 71 risk models. We use the new measures … in asset pricing, risk forecasting, and for explaining the aggregate trading volume of S&P 500 firms …
Persistent link: https://www.econbiz.de/10013213867
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Energy markets and global economic conditions
Baumeister, Christiane; Korobilis, Dimitris; Lee, Thomas - 2020
usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of …
Persistent link: https://www.econbiz.de/10012213172