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Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2014

fads model and under a moderately explosive bubble process: these alternative hypotheses give opposite predictions with … from 1962 to 2013 in three subperiods. We find evidence of a reduction of linear predictability in the most recent period …

Persistent link: https://www.econbiz.de/10011282646

The marriage market, labor supply and education choice

Chiappori, Pierre-Andre; Dias, Monica Costa; Meghir, Costas - 2015

We develop an equilibrium lifecycle model of education, marriage and labor supply and consumption in a transferable utility context. Individuals start by choosing their investments in education anticipating returns in the marriage market and the labor market. They then match based on the...

Persistent link: https://www.econbiz.de/10011445725

An investigation into multivariate variance ratio statistics and their application to stock market predictability

Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015

limiting behaviour of the statistic under a multivariate fads model and under a moderately explosive bubble process: these … linear predictability in the most recent period, for small and medium cap stocks. The main findings are not substantially …

Persistent link: https://www.econbiz.de/10011445726

Mean Ratio Statistic for measuring predictability

Linton, Oliver; Smetanina, Katja - 2015

We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based on … actual returns rather than logarithmic returns and is therefore better suited to capturing price predictability. It captures … multiperiod portfolio gross returns. We apply our methodology to test the gross return predictability of various financial series. …

Persistent link: https://www.econbiz.de/10011445716

Structural constant conditional correlation

Weber, Enzo - 2008

A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous...

Persistent link: https://www.econbiz.de/10010263718

Structural dynamic conditional correlation

Weber, Enzo - 2008

In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous in uences between several variables, this model considers interaction in the...

Persistent link: https://www.econbiz.de/10010263754

Asymmetric multivariate normal mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2008

An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic...

Persistent link: https://www.econbiz.de/10010298390

Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus; Mittnik, Stefan - 2008

We develop a multivariate generalization of the Markov-switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth-moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a...

Persistent link: https://www.econbiz.de/10010298391

Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013

Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on...

Persistent link: https://www.econbiz.de/10010326487

Dynamic trading and asset prices : Keynes vs. Hayek

Cespa, Giovanni; Vives, Xavier - 2009

term prospects and those only." The analysis explains accommodation and trend chasing strategies as well as momentum and …

Persistent link: https://www.econbiz.de/10010272747