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Displaying results 1 to 14 of 14.

  1. Uncovering regimes in out of sample forecast errors
    Author: Silva, Anibal Emiliano da; Gonzalo, Jesús; Pitarakis, Jean-Yves
    Published: [2018]
    Publisher:  Economics Department, University of Southampton, Southampton, UK

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion papers in economics and econometrics ; no. 18, 03
    Subjects: Predictive Regressions; Predictability; Out of Sample Forecasting
    Scope: 1 Online-Ressource (circa 22 Seiten)
  2. Can we forecast the implied volatility surface dynamics of equity options?
    predictability and economic value tests
    Author: Bernales, Alejandro; Guidolin, Massimo
    Published: [2012]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: October, 2012
    Series: Working paper series / IGIER ; n. 456
    Subjects: Equity options; Index options; Implied volatility surface; Predictability; Trading strategies
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  3. Predictability concentrates in bad times
    and so does disagreement
    Author: Souza, Thiago de Oliveira
    Published: 2019
    Publisher:  University of Southern Denmark, Odense

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion papers on business and economics ; no. 2019, 8
    Subjects: Predictability; bad times; efficient market hypothesis; disagreement; rational expectations
    Scope: 1 Online-Ressource (circa 27 Seiten)
  4. The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios
    Author: Guidolin, Massimo; Wang, Kai
    Published: 2022
    Publisher:  SSRN, [S.l.]

    We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all American-style options written on the stocks that have entered the Dow Jones Industrial Average Index between 2004 and 2016. We explore... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all American-style options written on the stocks that have entered the Dow Jones Industrial Average Index between 2004 and 2016. We explore whether the implied volatilities extracted through the two-step approach help improve the outof- sample performance of minimum-variance portfolios. We find that, by using option-implied volatilities in estimating the covariance matrix, the ex-post volatility of the minimum-variance portfolio is lower when compared with the equal-weighted portfolio and a minimum-variance portfolio simply derived from the historical, sample covariance matrix estimator. Moreover, over most of our 13-year sample, the realized Sharpe, Sortino and information ratios increase when the sample covariance matrix estimator is replaced with its implied counterpart. However, the benefits of using option-implied information are countered by an increase in portfolio turnover that may imply higher (implicit) transaction costs. We also apply shrinkage methods to both the sample covariance estimator and the implied covariance estimator and note that they often lead to significant improvements in portfolio performance

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: BAFFI CAREFIN Centre Research Paper ; No. 190
    Subjects: Equity options; Implied volatility surface; Predictability; optimal portfolios
    Other subjects: Array
    Scope: 1 Online-Ressource (45 p)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 6, 2022 erstellt
  5. Financial stress and realized volatility
    the case of agricultural commodities
    Author: Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; Pierdzioch, Christian
    Published: [2023]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11159/593807
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2023, 20 (July 2023)
    Subjects: Realized volatility; Agricultural commodities; Financialization; Realized moments; Predictability
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  6. Quantifying sentiment for the Japanese economy as predictors of stock prices
    Author: Ishijima, Hiroshi
    Published: 2014
    Publisher:  Columbia Business School, Center on Japanese Economy and Business, New York, NY

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 326 (338)
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    Language: English
    Media type: Book
    Format: Online
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    Series: Working paper series ; 338
    Subjects: Sentiment; Nikkei; Stock Market; Predictability; Text Mining; Big Data
    Scope: Online-Ressource (23 S.), graph. Darst.
  7. Robust inference with stochastic local unit root regressors in predictive regressions
    Author: Liu, Yanbo; Phillips, Peter C. B.
    Published: 2021
    Publisher:  Cowles Foundation for Research in Economics, Yale University, New Haven, Connecticut

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Cowles Foundation discussion paper ; no. 2305 (October 2021)
    Subjects: IVX; Long horizon; LSTUR; Predictability; Quantile regression; Robustness; Short horizon; STUR
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  8. Investor behavior and financial markets
    Author: Barahona, Ricardo
    Published: [2021]
    Publisher:  Tilburg University, Tilburg

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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    ISBN: 9789056686611
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    Series: [Dissertation series] / [Center for Economic Research, Tilburg University] ; [nr. 660 (2021)]
    Subjects: Predictability; Investor Behavior; Asset Prices; Financial Markets; Behavioral Biases; Retail Investors; Investor Protection; Managers; Organizing; Investment Decision
    Scope: 1 Online-Ressource (circa 177 Seiten), Illustrationen
    Notes:

    Dissertation, Tilburg University, 2021
  9. Commodity futures return predictability and intertemporal asset pricing
    Author: Cotter, John; Eyiah-Donkor, Emmanuel; Potì, Valerio
    Published: [2020]
    Publisher:  Financial Mathematics and Computation Research Cluster, [Dublin]

    We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and... more

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    We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor. Commodity return forecasts are closely linked to the real economy. Return predictability is countercyclical, and the combination forecasts of commodity returns have significantly positive predictive power for future economic activity. Two-factor models featuring innovations in each of the combination forecasts and the market factor explain a substantial proportion of the cross-sectional variation of commodity and equity returns. The associated positive risk prices are consistent with the Intertemporal Capital Asset Pricing Model (ICAPM) of Merton (1973), given how the predictors forecast an increase in future economic activity in the time-series. Overall, combination forecasts act as state variables within the ICAPM, thus resurrecting a central role for macroeconomic risk in determining expected returns

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Michael J. Brennan Irish finance working paper series research paper ; no. 20, 8
    Subjects: Commodity futures returns; Predictability; Asset allocation; Macroeconomic risk; Intertemporal pricing
    Scope: 1 Online-Ressource (circa 55 Seiten)
  10. Three essays in asset management
    Author: Roşu, Alina
    Published: [2016]

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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Subjects: Active mutual funds; Asset allocation; Information risk; Liquidity; Predictability; Portfolio Management
    Scope: 1 Online-Ressource (circa 162 Seiten), Illustrationen
    Notes:

    Dissertation, Université Paris-Saclay, 2016
  11. Uncovering regimes in out of sample forecast errors from predictive regressions
    Author: Silva Neto, Aníbal Emiliano da; Gonzalo, Jesús; Pitarakis, Jean-Yves
    Published: [2020]
    Publisher:  UC3M, Universidad Carlos III de Madrid, [Getafe (Spain)]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10016/31555
    Series: Array ; 2020, 14
    Subjects: Predictive Regressions; Predictability; Out Of Sample Forecast Errors; Cusum; Thresholds
    Scope: 1 Online-Ressource (circa 37 Seiten)
  12. Inflation gap persistence, indeterminacy, and monetary policy
    Author: Hirose, Yasuo; Kurozumi, Takushi; Van Zandweghe, Willem
    Published: 2021
    Publisher:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    Series: Working paper / Federal Reserve Bank of Cleveland ; 21, 05 (February 2021)
    Subjects: Inflation gap persistence; Predictability; Equilibrium indeterminacy; Monetary policy; Non-CES aggregator
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  13. Commodity futures return predictability and intertemporal asset pricing
    Author: Cotter, John; Eyiah-Donkor, Emmanuel; Potì, Valerio
    Published: [2020]
    Publisher:  Geary Institute, University College Dublin, [Dublin]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: UCD Geary Institute for Public Policy discussion paper series ; Geary WP2020, 11 (November 12, 2020)
    Subjects: Commodity futures returns; Predictability; Asset allocation; Macroe-conomic risk; Intertemporal pricing
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  14. Learning from the past
    the role of personal experiences in artificial stock markets
    Author: Lenhard, Gregor
    Published: March 2024
    Publisher:  University of Basel, Faculty of Business and Economics, Basel, Switzerland

    Recent survey evidence suggests that investors form beliefs about future stock returns by predominantly extrapolating their own experience: They overweight returns they have personally experienced while underweighting returns from earlier years and... more

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    DS 523
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    Recent survey evidence suggests that investors form beliefs about future stock returns by predominantly extrapolating their own experience: They overweight returns they have personally experienced while underweighting returns from earlier years and consequently expect high (low) stock market returns when they observe bullish (bearish) markets in their lifespan. Such events are difficult to reconcile with the existing models. This paper introduces a simple agent-based model for simulating artificial stock markets in which mean-variance optimizing investors have heterogeneous beliefs about future capital gains to form their expectations. Using this framework, I successfully reproduce various stylized facts from the empirical finance literature, such as underdiversification, the predictive power of the price-dividend ratio, and the autocorrelation of price changes. The experimental findings show that the most realistic market scenarios are produced when agents have a bias for recent returns. The study also established a link between underdiversification of investor portfolios and personal experiences.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/286406
    Series: WWZ working paper ; 2024, 01
    Subjects: Expectations; Agent-based models (ABM); Predictability; Heterogenousbeliefs; Artificial stock markets
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen