Search Results - subject:"real-time macroeconomic data"

Real-time macroeconomic data and ex ante predictability of stock returns

Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - 2006

macroeconomic data. Our real-time macroeconomic data cover the period 1994-2005. We report three results. 1) Real-time macroeconomic … noisy real-time macroeconomic data would have been comparable to the performance of an investor who had access to revised … data did not contribute much to ex ante stock-return predictability. 2) The performance of an investor who had to rely on …

Persistent link: https://www.econbiz.de/10010295798

Forecasting stock market volatility with macroeconomic variables in real time

Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - 2006

We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We used a statistical, a utility-based, and an options-based...

Persistent link: https://www.econbiz.de/10010295909

Real-time macroeconomic data and ex ante predictability of stock returns

Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - Deutsche Bundesbank - 2006

Persistent link: https://www.econbiz.de/10005083182

Forecasting stock market volatility with macroeconomic variables in real time

Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - Deutsche Bundesbank - 2005

Persistent link: https://www.econbiz.de/10005082771