Search Results - subject:"long horizon regression"

Narrow search

Investor sentiment as a predictor of market returns

Kaivanto, Kim; Zhang, Peng - 2019

Persistent link: https://www.econbiz.de/10012193287

Spurious Long-Horizon Regression in Econometrics

Noriega, Antonio E.; Ventosa-Santaulària, Daniel - Banco de México - 2010

This paper extends recent research on the behaviour of the t-statistic in a long-horizon regression (LHR). We assume …

Persistent link: https://www.econbiz.de/10008507943

Spurious long-horizon regression in econometrics

Noriega, Antonio E.; Ventosa-Santaulària, Daniel - 2010

This paper extends recent research on the behaviour of the t-statistic in a long-horizon regression (LHR). We assume …

Persistent link: https://www.econbiz.de/10010322629

Investor sentiment in the US-dollar: longer-term, nonlinear orientation on PPP

Menkhoff, Lukas; Rebitzky, Rafael R. - 2007

How is it possible that exchange rates move in the long run towards fundamentals, while professionals form consistently irrational exchange rate expectations? We look at this puzzle from a different perspective by analyzing investor sentiment in the US-dollar market. First, long-horizon...

Persistent link: https://www.econbiz.de/10010264930

Investor sentiment in the US-dollar: longer-term, nonlinear orientation on PPP

Menkhoff, Lukas; Rebitzky, Rafael - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2007

Persistent link: https://www.econbiz.de/10005464718

Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?

Kilian, Lutz; Taylor, Mark P. - Research Seminar in International Economics, University … - 2001

We propose a stylized exchange rate model based on diversity and weight of opinion. Our model departs from standard assumptions in that we allow for heterogeneous agents. We show that such a model can explain both the observed volatility and the persistence of real and nominal exchange rate...

Persistent link: https://www.econbiz.de/10005734374

Does the absence of cointegration explain the typical findings in long horizon regressions?

van Dijk, Dick; Berben, R-P. - Faculteit der Economische Wetenschappen, Erasmus … - 1998

-statistic, and the regression R^2 all tend to increase as the horizon increases. Such long horizon regression analyses implicitly … dropping this assumption. In particular, we look upon the long horizon regression as a conditional error-correction model and … reveals that the power of long horizon regression tests does not increase with the horizon. Exchange rate data are used to …

Persistent link: https://www.econbiz.de/10010731697

Does the absence of cointegration explain the typical findings in long horizon regressions?

Berben, R-P.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 1998

Persistent link: https://www.econbiz.de/10008584656