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Forecasting oil prices with penalized regressions, variance risk premia and Google data

Fantazzini, Dean; Kurbatskii, Alexey; Mironenkov, Alexey; … - 2022

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...

Persistent link: https://www.econbiz.de/10015270524

State-dependent asset allocation using neural networks

Bradrania, Reza; Pirayesh Neghab, Davood - 2021

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome this issue by adjusting portfolio allocations to hedge...

Persistent link: https://www.econbiz.de/10015268899

State-dependent asset allocation using neural networks

Bradrania, Reza; Pirayesh Neghab, Davood - 2021

Persistent link: https://www.econbiz.de/10015268904

A New Index of Financial Conditions

Koop, Gary; Korobilis, Dimitris - 2013

We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for...

Persistent link: https://www.econbiz.de/10015236406

Using crypto assets pricing methods to build technical oscillators for short-term bitcoin trading

Yang, Zixiu; Fantazzini, Dean - 2022

This paper examines the trading performances of several technical oscillators created using crypto assets pricing methods for short-term bitcoin trading. Seven pricing models proposed in the professional and academic literature were transformed into oscillators, and two thresholds were...

Persistent link: https://www.econbiz.de/10015269038

Multi-jumps

Caporin, Massimiliano; Kolokolov, Aleksey; Renò, Roberto - 2014

We provide clear-cut evidence for economically and statistically significant multivariate jumps (multi-jumps) occurring simultaneously in stock prices by using a novel nonparametric test based on smoothed estimators of integrated variances. Detecting multi-jumps in a panel of liquid stocks is...

Persistent link: https://www.econbiz.de/10015243914

Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - 2015

exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent / time independent wave equation in the quantum finances theory; 5) the … independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …

Persistent link: https://www.econbiz.de/10015249544

Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence

Thomadakis, Apostolos - 2016

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...

Persistent link: https://www.econbiz.de/10015252012

Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach

Kim, Hyeongwoo; Ko, Kyunghwan - 2018

We present a factor augmented forecasting model for assessing the financial vulnerability in Korea. Dynamic factor models often extract latent common factors from a large panel of time series data via the method of the principal components (PC). Instead, we employ the partial least squares (PLS)...

Persistent link: https://www.econbiz.de/10015261815

Economic Impact Analysis of Hospital Readmission Rate and Service Quality Using Machine Learning

bailek, Alexandra - 2018

The hospital readmission rate has been proposed as an important outcome indicator computable from routine statistics. The purpose of this research is to investigate the Economic Impact of service in hospitals and integrated delivery networks in the United States based on the readmission rates as...

Persistent link: https://www.econbiz.de/10015262016