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~accessRights:"free"
~person:"Barnett, William A."
~person:"Caporin, Massimiliano"
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Chaos theory
4
Chaostheorie
4
Neoclassical synthesis
4
Neoklassische Synthese
4
long-term un-predictability
4
Geldpolitik
3
Liquidity preference
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Liquiditätspräferenz
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Macroeconomics
3
Makroökonomik
3
Monetary policy
3
Shilnikov chaos criterion
3
fractional cointegration
3
global indeterminacy
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high and low prices
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liquidity trap
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predictability of asset prices
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range
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Börsenkurs
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Forecasting model
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Jumps
2
Prognoseverfahren
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Return predictability
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Share price
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Systemic events
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chart/technical analysis
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exit/entry trading signals
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long run anchor
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Business cycle theory
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Barnett, William A.
Caporin, Massimiliano
Guidolin, Massimo
13
Linton, Oliver
11
Kräussl, Roman
9
Nitschka, Thomas
9
Stork, Philip
9
Hoffmann, Mathias
8
Pierdzioch, Christian
8
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8
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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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Dipartimento di Economia, Università Ca' Foscari Venezia
1
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1
Schweizerische Nationalbank (SNB)
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
6
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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
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
On the
Predictability
of Stock Prices: A Case for High and Low Prices.
Caporin, Massimiliano
;
Ranaldo, Angelo
;
Magistris, …
-
Dipartimento di Scienze Economiche "Marco Fanno", …
-
2011
Contrary to the common wisdom that asset prices are barely 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/10009151550
Saved in:
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