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~accessRights:"free"
~person:"Barnett, William A."
~person:"Caporin, Massimiliano"
~person:"Engsted, Tom"
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Search: subject:"predictability"
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Chaos theory
4
Chaostheorie
4
Neoclassical synthesis
4
Neoklassische Synthese
4
long-term un-predictability
4
Geldpolitik
3
Liquidity preference
3
Liquiditätspräferenz
3
Macroeconomics
3
Makroökonomik
3
Monetary policy
3
Return predictability
3
Shilnikov chaos criterion
3
VAR model
3
fractional cointegration
3
global indeterminacy
3
high and low prices
3
liquidity trap
3
predictability of asset prices
3
range
3
return predictability
3
Börsenkurs
2
Forecasting model
2
Jumps
2
Prognoseverfahren
2
Share price
2
Systemic events
2
Variance Risk Premium
2
chart/technical analysis
2
exit/entry trading signals
2
long run anchor
2
predictability
2
1/N
1
Business cycle theory
1
Campbell-Cochrane model
1
Capital income
1
Cointegration
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Dividend-price ratio
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Estimation
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Eugene Fama
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Barnett, William A.
Caporin, Massimiliano
Engsted, Tom
Guidolin, Massimo
13
Linton, Oliver
11
Kräussl, Roman
9
Nitschka, Thomas
9
Stork, Philip
9
Hoffmann, Mathias
8
Pierdzioch, Christian
8
Prokopczuk, Marcel
8
Skiadopoulos, George
8
Timmermann, Allan
8
Bollerslev, Tim
7
Félix, Luiz
6
Moench, Emanuel
6
Neuenkirch, Matthias
6
Ehrmann, Michael
5
Gupta, Rangan
5
Hong, Seok Young
5
Hyde, Stuart
5
McMillan, David G.
5
Park, Cheolbeom
5
Pedersen, Thomas Q.
5
Schrimpf, Andreas
5
Zhang, Hui Jun
5
Zhang, Shaojun
5
Adrian, Tobias
4
Becker, Janis
4
Bella, Giovanni
4
Chen, Cathy Yi-Hsuan
4
Drobetz, Wolfgang
4
Döpke, Jörg
4
Fagan, Stephen
4
Georgiou, Catherine
4
Ghosh, Taniya
4
Gonzalo, Jesús
4
Hamburg, Britta
4
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4
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4
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School of Economics and Management, University of Aarhus
7
Dipartimento di Economia, Università Ca' Foscari Venezia
1
Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova
1
Schweizerische Nationalbank (SNB)
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CREATES Research Papers
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3
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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RePEc
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6
EconStor
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1
Controlling chaos in New Keynesian macroeconomics
Barnett, William A.
;
Bella, Giovanni
;
Ghosh, Taniya
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 219-236
Persistent link: https://www.econbiz.de/10014288894
Saved in:
2
Controlling chaos in new Keynesian macroeconomics
Barnett, William A.
;
Bella, Giovanni
;
Ghosh, Taniya
; …
-
2022
Persistent link: https://www.econbiz.de/10012888227
Saved in:
3
Chaos in the UK new Keynesian macroeconomy
Barnett, William A.
;
Bella, Giovanni
;
Ghosh, Taniya
; …
-
2021
Persistent link: https://www.econbiz.de/10012663955
Saved in:
4
Shilnikov chaos, low interest rates, and new Keynesian macroeconomics
Barnett, William A.
;
Bella, Giovanni
;
Ghosh, Taniya
; …
-
2020
Persistent link: https://www.econbiz.de/10012203075
Saved in:
5
Systemic co-jumps
Caporin, Massimiliano
;
Kolokolov, Alexey
;
Renò, Roberto
-
2016
-term
predictability
in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase …
Persistent link: https://www.econbiz.de/10011544949
Saved in:
6
Systemic co-jumps
Caporin, Massimiliano
;
Kolokolov, Alexey
;
Renò, Roberto
-
2016
-term
predictability
in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase …
Persistent link: https://www.econbiz.de/10011544772
Saved in:
7
Fama on bubbles
Engsted, Tom
-
School of Economics and Management, University of Aarhus
-
2014
because such bubbles do not necessarily imply return
predictability
. On data samples that include the 1990s, there is evidence …
Persistent link: https://www.econbiz.de/10010892066
Saved in:
8
Bond return
predictability
in expansions and recessions
Engsted, Tom
;
Møller, Stig V.
;
Sander, Magnus
-
School of Economics and Management, University of Aarhus
-
2013
who takes the
predictability
patterns into account and show that utility gains are positive in expansions but negative in …
Persistent link: https://www.econbiz.de/10010851230
Saved in:
9
Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries
Engsted, Tom
;
Pedersen, Thomas Q.
-
School of Economics and Management, University of Aarhus
-
2012
of
predictability
is negative, for other countries it is positive. Third, the predictive patterns are highly dependent on … the predictive patterns, especially wrt. rent growth
predictability
. The
predictability
tests are conducted within a … can be used to construct powerful tests of
predictability
. …
Persistent link: https://www.econbiz.de/10010851254
Saved in:
10
Market volatility, optimal portfolios and naive asset allocations
Pelizzon, Loriana
;
Caporin, Massimiliano
-
Dipartimento di Economia, Università Ca' Foscari Venezia
-
2012
This paper investigates the impact of a financial turmoil on the performances of traditional, and naive, asset allocation strategies. We compare over a long time span (lasting for the last 60 years) the 1/N portfolio with mean-variance optimal portfolio strategies. Our analyses consider several...
Persistent link: https://www.econbiz.de/10010556829
Saved in:
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