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You are looking at 1-20 of 27 items for:

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...

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...

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...

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...

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...

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%...

Improving Asset Price Prediction When All Models are False

Garland Durham and John Geweke.

in Journal of Financial Econometrics

March 2014; p ublished online September 2013 .

Journal Article. Subjects: Financial Forecasting and Simulation; Econometric Modelling. 10047 words.

This study considers three alternative sources of information about volatility potentially useful in predicting daily asset returns: daily returns, intraday returns, and option prices. For...

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Investor Information, Long-Run Risk, and the Term Structure of Equity

Mariano M. Croce, Martin Lettau and Sydney C. Ludvigson.

in The Review of Financial Studies

March 2015; p ublished online November 2014 .

Journal Article. Subjects: Economics; Financial Forecasting and Simulation. 18775 words.

We study the role of information in asset-pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model...

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Dashan Huang, Fuwei Jiang, Jun Tu and Guofu Zhou.

in The Review of Financial Studies

March 2015; p ublished online October 2014 .

Journal Article. Subjects: Econometric Modelling; Economics; Financial Forecasting and Simulation. 23957 words.

We propose a new investor sentiment index that is aligned with the purpose of predicting the aggregate stock market. By eliminating a common noise component in sentiment proxies, the new...

Irrationality or Efficiency of Macroeconomic Survey Forecasts? Implications from the Anchoring Bias Test

Dieter Hess and Sebastian Orbe.

in Review of Finance

November 2013; p ublished online January 2013 .

Journal Article. Subjects: General Aggregative Models; Financial Forecasting and Simulation; Economics; Prices, Business Fluctuations, and Cycles. 10869 words.

Recent findings indicate that macroeconomic survey forecasts are anchoring biased and therefore are inefficient. However, despite highly significant test coefficients, a bias adjustment...

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Jump-Diffusion Long-Run Risks Models, Variance Risk Premium, and Volatility Dynamics

Jianjian Jin.

in Review of Finance

May 2015; p ublished online May 2014 .

Journal Article. Subjects: Economics; Financial Forecasting and Simulation. 18127 words.

This article calibrates a class of jump-diffusion long-run risks models and quantifies how well they can account for both equity and variance risk premiums while generating realistic...

Modeling Credit Contagion via the Updating of Fragile Beliefs

Luca Benzoni, Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege.

in The Review of Financial Studies

July 2015; p ublished online March 2015 .

Journal Article. Subjects: Financial Forecasting and Simulation; International Financial Markets; Economics. 16666 words.

We propose an equilibrium model for defaultable bonds that are subject to contagion risk. Contagion arises because agents with “fragile beliefs” are uncertain about the underlying economic...

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Modeling Realized Covariances and Returns

Xin Jin and John M. Maheu.

in Journal of Financial Econometrics

March 2013; p ublished online November 2012 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Financial Forecasting and Simulation; Econometric Modelling. 10604 words.

This article proposes new dynamic component models of returns and realized covariance (RCOV) matrices based on time-varying Wishart distributions. Bayesian estimation and model comparison...

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News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons

Xilong Chen and Eric Ghysels.

in The Review of Financial Studies

January 2011; p ublished online September 2010 .

Journal Article. Subjects: Financial Forecasting and Simulation; Single Equation Models; Single Variables; Econometric Modelling. 15576 words.

We introduce a new class of parametric models applicable to a mixture of high and low frequency returns and revisit the concept of news impact curves introduced by Engle and Ng (1993)....

Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices

Michael S. Johannes, Nicholas G. Polson and Jonathan R. Stroud.

in The Review of Financial Studies

July 2009; p ublished online January 2009 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Econometric Modelling; Economics; Financial Forecasting and Simulation. 16572 words.

This paper provides an optimal filtering methodology in discretely observed continuous-time jump-diffusion models. Although the filtering problem has received little attention, it is useful...

Portfolio Optimization Using Forward-Looking Information

Alexander Kempf, Olaf Korn and Sven Saßning.

in Review of Finance

March 2015; p ublished online March 2014 .

Journal Article. Subjects: Economics; Financial Forecasting and Simulation. 8206 words.

We develop a new family of estimators of the covariance matrix that relies solely on forward-looking information. It uses only current prices of plain-vanilla options. In an out-of-sample...