This paper examines the out-of-sample predictability of monthly German stock returns, and addresses the issue of whether combinations of individual model forecasts are able to provide significant out-of-sample gains relative to the historical average. Empirical analysis over the period from 1973...

The ability of Google Trends data to forecast the number of new daily cases and deaths of COVID-19 is examined using a dataset of 158 countries. The analysis includes the computations of lag correlations between confirmed cases and Google data, Granger causality tests, and an out-of-sample...

This paper investigates the relationship between the bitcoin price and the hashrate by disentangling the effects of the energy efficiency of the bitcoin mining equipment, bitcoin halving, and of structural breaks on the price dynamics. For this purpose, we propose a methodology based on...

This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

The performance of an ARCH model selection algorithm based on the standardized prediction error criterion (SPEC) is evaluated. The evaluation of the algorithm is performed by comparing different volatility forecasts in option pricing through the simulation of an options market. Traders employing...

This paper investigates whether augmenting models with the variance risk premium (VRP) and Google search data improves the quality of the forecasts for real oil prices. We considered a time sample of monthly data from 2007 to 2019 that includes several episodes of high volatility in the oil...

Sornette et al. (1996), Sornette and Johansen (1997), Johansen et al. (2000) and Sornette (2003a) proposed that, prior to crashes, the mean function of a stock index price time series is characterized by a power law decorated with log-periodic oscillations, leading to a critical point that...

The way in which market participants form expectations affects the dynamic properties of financial asset prices and therefore the appropriateness of different econometric tools used for empirical asset pricing. In addition to standard rational expectations models, this thesis studies a class of...

Bitcoin is an open source decentralized digital currency and a payment system. It has raised a lot of attention and interest worldwide and an increasing number of articles are devoted to its operation, economics and financial viability. This article reviews the econometric and mathematical tools...

The COVID-19 pandemic has caused severe disruption to economic and financial activity worldwide. We assess what happened to the aggregate U.S. stock market during this period, including implications for both short and long-horizon investors. Using the model of Maheu, McCurdy and Song (2012), we...