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Beauty Contests Under Private Information and Diverse Beliefs : How Different?

Kurz, Mordecai - 2007

The paper contrasts theories that explain diverse belief by asymmetric private information (in short PI) with theories which postulate agents use subjective heterogenous beliefs (in short HB). We focus on problems where agents forecast aggregates such as profit rate of the Samp;P500 and our...

Persistent link: https://www.econbiz.de/10012775716

Multiple-Curve Valuation with One-Factor Hull-White Model

Zhu, Jun - 2014

It is shown that the one-factor Hull-White model can be used in the modern derivative multiple-curve valuation framework. For vanilla instruments such as caps and European swaptions, closed-form pricing formulae are derived

Persistent link: https://www.econbiz.de/10013066173

'Quantum Equilibrium-Disequilibrium' : Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons

Halperin, Igor - 2019

We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism. Using a linear market impact model, this produces a...

Persistent link: https://www.econbiz.de/10012898637

A bibliometric analysis of machine learning econometrics in asset pricing

Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17

Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...

Persistent link: https://www.econbiz.de/10013475217

One-factor-Garch models for German stocks: Estimation and forecasting

Kaiser, Thomas - 1996

This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...

Persistent link: https://www.econbiz.de/10010435583

One-factor-Garch models for German stocks : estimation and forecasting

Kaiser, Thomas - 1996

Persistent link: https://www.econbiz.de/10010407100

The memory of beta factors

Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - 2019

Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks,...

Persistent link: https://www.econbiz.de/10012105362

Do the FAMA and FRENCH five-factor model forecast well using ANN?

Jan, Muhammad Naveed; Ayub, Usman - In: Journal of business economics and management 20 (2019) 1, pp. 168-191

Forecasting the stock returns in the emerging markets is challenging due to their peculiar characteristics. These … markets exhibit linear as well as nonlinear features and Conventional forecasting methods partially succeed in dealing with … which caters both the linear and nonlinear markets. This paper investigates the forecasting ability of ANN by using Fama and …

Persistent link: https://www.econbiz.de/10012175006

Expected Rates of Equity Returns : Evidence from Indian Stock Market

Singh, Shveta - 2016

This purpose of this paper is to present the expected equity returns for the Indian stock market for the benefit of investors, who may then compare such returns with actual market returns to evaluate whether the Indian stock market provides returns in excess of expectations. Both the capital...

Persistent link: https://www.econbiz.de/10012980409

Forward-Looking Beta Estimates : Evidence from an Emerging Market

Onour, Ibrahim - 2017

In this paper time-varying beta estimates for five key sectors in Kuwait stock market explored. The results of the paper support evidence of time-varying beta coefficients for all sectors included in the study. This result invalidates the standard application of Capital Asset Pricing Model...

Persistent link: https://www.econbiz.de/10012946113