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~accessRights:"free"
~person:"Barnett, William A."
~person:"Caporin, Massimiliano"
~person:"Hoffmann, Mathias"
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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
Schätzung
3
Shilnikov chaos criterion
3
entrepreneurial income
3
equity risk premium
3
fractional cointegration
3
global indeterminacy
3
high and low prices
3
liquidity trap
3
long-horizon predictability
3
predictability of asset prices
3
range
3
Asset Price Predictability
2
Bankensystem
2
Business Cycles
2
Börsenkurs
2
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2
Einkommenshypothese
2
Financial Systems
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Forecasting model
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2
Jumps
2
Konjunktur
2
Monetary Policy Transmission
2
Non-insurable background risk
2
Prognoseverfahren
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Return predictability
2
Share price
2
Systemic events
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9
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English
14
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Barnett, William A.
Caporin, Massimiliano
Hoffmann, Mathias
Guidolin, Massimo
13
Linton, Oliver
11
Kräussl, Roman
9
Nitschka, Thomas
9
Stork, Philip
9
Pierdzioch, Christian
8
Prokopczuk, Marcel
8
Skiadopoulos, George
8
Timmermann, Allan
8
Bollerslev, Tim
7
Engsted, Tom
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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CESifo
2
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1
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1
Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova
1
Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong
1
Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
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1
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1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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1
Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
1
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RePEc
8
ECONIS (ZBW)
6
EconStor
4
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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
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:
8
On the
predictability
of stock prices : a case for high and low prices
Caporin, Massimiliano
;
Ranaldo, Angelo
;
Santucci de …
-
2012
Contrary to the common wisdom that asset prices are barely possible to forecast, we show that that high and low prices of equity shares are largely predictable. We propose to model them using a simple implementation of a fractional vector autoregressive model with error correction (FVECM). This...
Persistent link: https://www.econbiz.de/10010407671
Saved in:
9
On the
Predictability
of Stock Prices: a Case for High and Low Prices
Caporin, Massimiliano
;
Ranaldo, Angelo
-
Schweizerische Nationalbank (SNB)
-
2011
Contrary to the common wisdom that asset prices are hardly possible to forecast, we show that high and low prices of equity shares are largely predictable. We propose to model them using a simple implementation of a fractional vector autoregressive model with error correction (FVECM). This model...
Persistent link: https://www.econbiz.de/10009367192
Saved in:
10
The Cross-Section of Country News, Decoupling Expectations, and Global Business Cycles
Hoffmann, Mathias
;
Liao, Wei
-
Hong Kong Institute for Monetary Research (HKIMR), …
-
2011
We define decoupling as an increase in the cross-country heterogeneity in long-term growth expectations. We identify growth expectations from a cointegrating relation between a country's output level and its stock market valuation. Fluctuations in this output-price or yp-ratio reflect changes in...
Persistent link: https://www.econbiz.de/10010617726
Saved in:
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