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Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate

Pincheira, Pablo; Jarsun, Nabil - 2020

-value theory for exchange rate determination and on the strong co-movement displayed by some commodity prices. The Chilean economy …

Persistent link: https://www.econbiz.de/10015229382

Forecasting Aluminum Prices with Commodity Currencies

Pincheira, Pablo; Hardy, Nicolás - 2019

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

Persistent link: https://www.econbiz.de/10015265738

The Mean Squared Prediction Error Paradox

Pincheira, Pablo; Hardy, Nicolas - 2021

In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...

Persistent link: https://www.econbiz.de/10015241474

Forecasting Base Metal Prices with an International Stock Index

Pincheira, Pablo; Hardy, Nicolas; Bentancor, Andrea; … - 2021

In this paper we show that the MSCI ACWI Metals and Mining Index has the ability to predict base metal prices. We use both in-sample and out-of-sample exercises to conduct such examination. The theoretical underpinning of these results relies on the present-value model for stock-price...

Persistent link: https://www.econbiz.de/10015243686

The Mean Squared Prediction Error Paradox: A summary

Pincheira, Pablo; Hardy, Nicolas - 2020

This is a summary of the paper entitled : “The Mean Squared Prediction Error Paradox”. In that paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of...

Persistent link: https://www.econbiz.de/10015229363

Using sentiment surveys to predict GDP growth and stock returns

Guzman, Giselle C. - 2008

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10015230635

Canonical Representation Of Option Prices and Greeks with Implications for Market Timing

Cadogan, Godfrey - 2010

theory. The first problem was posed by (Kassouf, 1969, pg. 694) seeking “theoretical substantiation” for his robust option … the call option price in his option pricing model with stochastic volatility–without appealing to an equilibrium asset … representation theory of call option pricing convex in time to maturity, and algebraic number of the underlying–with coefficients …

Persistent link: https://www.econbiz.de/10015222071

Generic Price Model for Commodity Derivatives

Lee, David - 2022

This article develops a new framework for modeling the dynamics of commodity forward curves and pricing commodity derivatives. The model accommodates a generic calibration procedure to ensure that the model prices for vanilla options match exactly the market prices. Empirically we show that the...

Persistent link: https://www.econbiz.de/10015268443

A Nonparametric Option Pricing Model Using Higher Moments

Cayton, Peter Julian - 2015

through return data transformation. The model complies with the put-call parity principle of option pricing theory. The …

Persistent link: https://www.econbiz.de/10015247274

A Nonparametric Option Pricing Model Using Higher Moments

Cayton, Peter Julian; Ho, Kin-Yip - 2015

through return data transformation. The model complies with the put-call parity principle of option pricing theory. The …

Persistent link: https://www.econbiz.de/10015256083