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Market Size, the Informational Content of Stock Prices and Risk: A Multiasset Model and some Evidence

Pagano, Marco - C.E.P.R. Discussion Papers - 1986

of stock prices as predictors of future dividends. This paper analyses the relationship between market size and risk as …

Persistent link: https://www.econbiz.de/10005661719

Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk

Gürkaynak, Refet S.; Wolfers, Justin - C.E.P.R. Discussion Papers - 2006

. Finally we assess the role of risk, finding little evidence that risk-aversion drives a wedge between market prices and …

Persistent link: https://www.econbiz.de/10005656457

Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters

Inoue, Atsushi; Jin, Lu; Rossi, Barbara - C.E.P.R. Discussion Papers - 2014

develop a novel method for selecting the estimation window size for forecasting. Specifically, we propose to choose the …

Persistent link: https://www.econbiz.de/10011083425

A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics

Pettenuzzo, Davide; Timmermann, Allan G; Valkanov, Rossen - C.E.P.R. Discussion Papers - 2014

moments of the outcome and develop Gibbs sampling methods for Bayesian estimation in the presence of stochastic volatility …

Persistent link: https://www.econbiz.de/10011083475

Leading Indicators for Euro Area Inflation and GDP Growth

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2003

real time context, for several forecast horizons, and using both recursive and rolling estimation. We also analyse three …

Persistent link: https://www.econbiz.de/10005662386

Can Book-to-Market, Size and Momentum Be Risk Factors That Predict Economic Growth

Liew, Jimmy; Vassalou, Maria - C.E.P.R. Discussion Papers - 1999

growth in some of the countries examined. Our results support a risk-based explanation for the performance of the HML and SMB …

Persistent link: https://www.econbiz.de/10005791430

The Predictive Power of the Yield Spread: Further Evidence and A Structural Interpretation

Favero, Carlo A.; Kaminska, Iryna; Söderström, Ulf - C.E.P.R. Discussion Papers - 2005

inflation as predictors. We provide a possible structural interpretation of these results by allowing for time-varying risk …

Persistent link: https://www.econbiz.de/10005791499

Income and schooling

Brückner, Markus; Gradstein, Mark - C.E.P.R. Discussion Papers - 2013

empirical perspective. We do so by focusing on within-country variation and using instrumental variables estimation to extract …

Persistent link: https://www.econbiz.de/10011083727

Measuring the Transformation of the European Economies: Income, Health and Welfare

Floud, Roderick - C.E.P.R. Discussion Papers - 1984

The measurement of national income has added greatly to our understanding of economic and social change in Europe over the past hundred years. But national income analysis does not take full account of changes in welfare and particularly of the causes and effects of long-term changes in the...

Persistent link: https://www.econbiz.de/10005666852

Economic Conditions in Early Modern Bengal: A Contribution to the Divergence Debate

Roy, Tirthankar - C.E.P.R. Discussion Papers - 2009

The paper contributes to the debate on relative levels of living in the early modern world by estimating the income of and probable range of income growth in Bengal before European colonization. The exercise yields two conclusions, (a) average income in Bengal was significantly smaller than that...

Persistent link: https://www.econbiz.de/10008577812