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The Qualitative Expectations Hypothesis : Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

Frydman, Roman - 2017

We introduce the Qualitative Expectations Hypothesis (QEH) as a new approach to modeling macroeconomic and Financial outcomes. Building on John Muth's seminal insight underpinning the Rational Expectations Hypothesis (REH), QEH represents the market's forecasts to be consistent with the...

Persistent link: https://www.econbiz.de/10012953086

The Qualitative Expectations Hypothesis : Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

Frydman, Roman - 2017

Persistent link: https://www.econbiz.de/10012953166

The Qualitative Expectations Hypothesis : Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

Frydman, Roman - 2017

We introduce the Qualitative Expectations Hypothesis (QEH) as a new approach to modeling macroeconomic and financial outcomes. Building on John Muth's seminal insight underpinning the Rational Expectations Hypothesis (REH), QEH represents the market's forecasts to be consistent with the...

Persistent link: https://www.econbiz.de/10012953692

The qualitative expectations hypothesis : model ambiguity, consistent representations of market forecasts, and sentiment

Frydman, Roman; Johansen, Søren; Rahbek, Anders; Nyboe … - 2017

Persistent link: https://www.econbiz.de/10011706104

The qualitative expectations hypothesis : model ambiguity, consistent representations of market forecasts, and sentiment

Frydman, Roman; Johansen, Søren; Rahbek, Anders; Nyboe … - 2017

Persistent link: https://www.econbiz.de/10011707436

Evaluating the accuracy of tail risk forecasts for systemic risk measurement

Brownlees, Christian; Cavaliere, Giuseppe; Monti, Alice - In: Annals of financial economics 13 (2018) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10011931111

Testing for parameter instability in predictive regression models

Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of econometrics 204 (2018) 1, pp. 101-118

Persistent link: https://www.econbiz.de/10011974719

A bootstrap stationarity test for predictive regression invalidity

Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 528-541

Persistent link: https://www.econbiz.de/10012178194

Simple tests for stock return predictability with good size and power properties

Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 224 (2021) 1, pp. 198-214

Persistent link: https://www.econbiz.de/10013275372

Testing for episodic predictability in stock returns

Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 1, pp. 85-113

Persistent link: https://www.econbiz.de/10013441625