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Social Sciences x Financial Forecasting and Simulation x clear all

Accurate Methods for Approximate Bayesian Computation Filtering

Laurent E. Calvet and Veronika Czellar.

in Journal of Financial Econometrics

September 2015; p ublished online July 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Financial Forecasting and Simulation; Econometric Modelling. 9894 words.

The Approximate Bayesian Computation (ABC) filter extends the particle filtering methodology to general state-space models in which the density of the observation conditional on the state...

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Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence

Torben G. Andersen and Oleg Bondarenko.

in Review of Finance

March 2015; p ublished online September 2014 .

Journal Article. Subjects: Economics; Financial Forecasting and Simulation; Econometric Modelling. 18129 words.

Following the “flash crash” on May 6, 2010, warning signals for impending market stress have been in high demand, yet only the VPIN metric of Easley, López de Prado, and O’Hara (ELO) has...

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Bond Returns and Market Expectations

Carlo Altavilla, Raffaella Giacomini and Riccardo Costantini.

in Journal of Financial Econometrics

September 2014; p ublished online April 2014 .

Journal Article. Subjects: Financial Forecasting and Simulation; Econometric Modelling; Money and Interest Rates. 7744 words.

A well-documented empirical result is that market expectations extracted from futures contracts on the federal funds rate are among the best predictors for the future course of monetary...

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Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk

André A. P. Santos, Francisco J. Nogales and Esther Ruiz.

in Journal of Financial Econometrics

March 2013; p ublished online October 2012 .

Journal Article. Subjects: Financial Forecasting and Simulation; Single Equation Models; Single Variables; Econometric Modelling. 15080 words.

This article compares multivariate and univariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models to forecast portfolio value-at-risk (VaR). We provide a...

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Component-wise Representations of Long-memory Models and Volatility Prediction

Tommaso Proietti.

in Journal of Financial Econometrics

September 2016; p ublished online April 2016 .

Journal Article. Subjects: Single Equation Models; Single Variables; Econometric Modelling; Financial Forecasting and Simulation. 7736 words.

Extracting and forecasting the volatility of financial markets is an important empirical problem. The article provides a time series characterization of the volatility components arising...

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Don’t Fight the Fed!

Paulo Maio.

in Review of Finance

April 2014; p ublished online May 2013 .

Journal Article. Subjects: Financial Forecasting and Simulation; Economics; Money and Interest Rates. 20291 words.

Monetary policy, as captured by changes in the Fed funds rate (FFR), is a useful signal for investors. I analyze the economic significance of trading strategies based on the “out-of-sample”...

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The Economic Value of Volatility Forecasts: A Conditional Approach

Nicholas Taylor.

in Journal of Financial Econometrics

June 2014; p ublished online August 2013 .

Journal Article. Subjects: Financial Forecasting and Simulation; Economics; Econometric Modelling. 15748 words.

We investigate the economic value of multivariate volatility forecasting ability using a testing framework that assesses the quality of competing methods from a conditional investment...

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Estimating Security Betas Using Prior Information Based on Firm Fundamentals

Mathijs Cosemans, Rik Frehen, Peter C. Schotman and Rob Bauer.

in The Review of Financial Studies

April 2016; p ublished online December 2015 .

Journal Article. Subjects: Economics; Financial Forecasting and Simulation. 18323 words.

We propose a hybrid approach for estimating beta that shrinks rolling window estimates toward firm-specific priors motivated by economic theory. Our method yields superior forecasts of beta...

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Expected Returns and Dividend Growth Rates Implied by Derivative Markets

Benjamin Golez.

in The Review of Financial Studies

March 2014; p ublished online January 2014 .

Journal Article. Subjects: Economics; Financial Forecasting and Simulation. 13842 words.

The dividend-price ratio is a noisy proxy for expected returns when expected dividend growth is time-varying. This paper uses a new and forward-looking measure of dividend growth extracted...

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Expected Returns and Expected Growth in Rents of Commercial Real Estate

Alberto Plazzi, Walter Torous and Rossen Valkanov.

in The Review of Financial Studies

September 2010; p ublished online August 2010 .

Journal Article. Subjects: Economics; Financial Forecasting and Simulation. 25518 words.

Commercial real estate expected returns and expected rent growth rates are time-varying. Relying on transactions data from a cross-section of U.S. metropolitan areas, we find that up to 30%...

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