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Prediction and identification in two-sided markets
Boik, Andre - 2018
answers and can be used to estimate market power and pass through rates. I show that even a naive one-sided model that ignores …
Persistent link: https://www.econbiz.de/10011789113
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 2016
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....
Persistent link: https://www.econbiz.de/10011434566
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Predictability of asset returns and the efficient market hypothesis
Pesaran, M. Hashem - 2010
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10003983206
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Building daily economic sentiment indicators
Rey del Castillo, Pilar - 2022
The availability of copious amounts of data produced by the increasing datification of our society is nowadays deemed an opportunity to produce timely and convenient statistical information. This paper shows the building of economic sentiment indexes from the texts of the most read economic...
Persistent link: https://www.econbiz.de/10013453734
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Forecastability and statistical characteristics of aggregate oil and gas investments on the Norwegian Continental Shelf
Lorentzen, Sindre; Osmundsen, Petter - 2016
We investigate the potential for statistical forecasting of aggregate oil and gas investment on the Norwegian … random walk benchmark in an out-of-sample environment. Second, lags of investment growth, crude oil price growth and realized … volatility is found to be adequate predictors for the investment growth. Finally, there is a clear benefit from re-estimating the …
Persistent link: https://www.econbiz.de/10011544319
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[Sigma] : the long and short of it
Chirinko, Robert S. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003641757
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Forty years of oil price fluctuations : why the price of oil may still surprise us
Baumeister, Christiane; Kilian, Lutz - 2016
It has been forty years since the oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the economic determinants of oil price fluctuations has emerged....
Persistent link: https://www.econbiz.de/10011431626
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Robust bond risk premia
Bauer, Michael D.; Hamilton, James D. - 2015 - Rev.: September 25, 2015
A consensus has recently emerged that a number of variables in addition to the level, slope, and curvature of the term structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used to support this conclusion are subject to very...
Persistent link: https://www.econbiz.de/10011346306
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Forecasting GDP all over the world using leading indicators based on comprehensive survey data
Garnitz, Johanna; Lehmann, Robert; Wohlrabe, Klaus - 2019
, we use a free and instantaneous available source of leading indicators, the ifo World Economic Survey (WES), to forecast …
Persistent link: https://www.econbiz.de/10012026466
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Energy markets and global economic conditions
Baumeister, Christiane; Korobilis, Dimitris; Lee, Thomas - 2020
usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of …
Persistent link: https://www.econbiz.de/10012213172