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Forecasting the market risk premium with artificial neural networks

Oikonomikou, Leoni Eleni - 2016

This paper aims to forecast the Market Risk premium (MRP) in the US stock market by applying machine learning …). Furthermore, Univariate ARMA and Exponential Smoothing models are also tested. The Market Risk Premium is defined as the … forecast the Market Risk Premium in a daily basis using Artificial Neural Networks (ANNs). Second, it is not based on a …

Persistent link: https://www.econbiz.de/10011460590

Comparing the market risk premia forecasts in JSE and NYSE equity markets

Oikonomikou, Leoni Eleni - 2016

This paper examines the evidence regarding predictability in the market risk premium using artificial neural networks … paper is the inclusion of the South African market risk premium to the forecasting exercise and its direct comparison with … US forecasting results. The market risk premium is defined as the expected rate of return on the market portfolio in …

Persistent link: https://www.econbiz.de/10011460591

Classical identification: A viable road for data to inform structural modeling

Hammersland, Roger - 2008

This paper addresses how to enhance the role of data in structural model design by utilizing structural breaks and superfluous information as auxiliary tools of exact identification. To illustrate the procedure and to study the simultaneous interplay between financial variables and the real side...

Persistent link: https://www.econbiz.de/10011968332

The Financial Accelerator: Evidence using a procedure of Structural Model Design

Hammersland, Roger; Jacobsen, Dag Henning - 2008

We find empirical evidence of a financial accelerator using a data based procedure of Structural Model Design. Credit to firms, asset prices and aggregate economic activity interact over the business cycle in our empirical model of a dynamic economy. Furthermore, the interdependence between...

Persistent link: https://www.econbiz.de/10011968339

Allocation of expenditures in elderly households and the cost of widowhood

Burkhard, Daniel - 2015

Widowhood and retirement are likely to change the economic environment of elderly households. While retirement primarily changes income and expenditure patterns, widowhood fundamentally changes the structure of the household. Beside high non-monetary cost of losing the partner, resources are no...

Persistent link: https://www.econbiz.de/10011420616

Import Price Formation and Pricing to Market: A Test on Norwegian Data

Naug, Bjørn E.; Nymoen, Ragnar - 1995

This paper investigates the determinants of Norwegian import prices of manufactures over the period 1970(1) - 1991(4). Multivariate cointegration analysis establishes a long-run relationship between import prices, foreign prices, the exchange rate and domestic unit labour costs. Normalized on...

Persistent link: https://www.econbiz.de/10011967929

Rational Expectations in Price Setting. Tests Based on Norwegian Export Prices

Svendsen, Ingvild - 1998

This paper uses imperfect competition as a basis for modelling the export price for an aggregated commodity produced by the Norwegian private mainland economy. The long run solution is analysed using a cointegration technique. The dynamics are modelled according to two different approaches; a...

Persistent link: https://www.econbiz.de/10011967997

Expectations in Export Price Formation Tests using Cointegrated VAR Models

Boug, Pål; Cappelen, Ådne; Swensen, Anders R. - 2000

The formation of export prices is an area in which the linear quadratic adjustment cost (LQAC) model under rational expectations may be relevant in practice. This paper evaluates the empirical performance of the LQAC-model using Norwegian data and a new testing procedure suggested by Johansen...

Persistent link: https://www.econbiz.de/10011968053

Estimating and Restricting Growth Rates and Cointegration Means With Applications to Consumption and Money Demand

Hungnes, Håvard - 2001

The parameters in the cointegration vector and the loading parameters are not the only interesting parameters in a vector cointegration model. With a reformulation of the model the intercept parameters can be decomposed into growth parameters and cointegration mean parameters. These parameters...

Persistent link: https://www.econbiz.de/10011968079

Identifying Structural Breaks in Cointegrated VAR Models

Hungnes, Håvard - 2005

The paper describes a procedure for decomposing the deterministic terms in cointegrated VAR models into growth rate parameters and cointegration mean parameters. These parameters express long-run properties of the model. For example, the growth rate parameters tell us how much to expect...

Persistent link: https://www.econbiz.de/10011968192