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Economic crisis and share price unpredictability : reasons and implications
Fox, Edward G.; Fox, Merritt B.; Gilson, Ronald J. - 2014
During the recent financial crisis, there was a dramatic spike, across all industries, in the volatility of individual … spikes in firm-specific price volatility, a pattern that poses a puzzle in terms of existing financial theory. The most … difficult economic times. This discovery of a long history of crisis-induced spikes in firm-specific price volatility has …
Persistent link: https://www.econbiz.de/10010259665
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A Survey of Alternative Measures of Macroeconomic Uncertainty : Which Measures Forecast Real Variables and Explain Fluctuations in Asset Volatilities Better?
David, Alexander; Veronesi, Pietro - 2022
creation, as well as in explaining fluctuations in stock-market and Treasury bond market volatility. In general, we find that …'s stock market volatility performing the best on several (but not all) dimensions. Their learning-based model's volatility … volatile than the David and Veronesi (2013) stock market volatility …
Persistent link: https://www.econbiz.de/10013294567
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International tail risk and world fear
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail...
Persistent link: https://www.econbiz.de/10011751251
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Causal and Predictive Market Views and Stress-Testing
Vorobets, Anton - 2023
This article introduces a very flexible framework for causal and predictive market views and stress-testing. The framework elegantly combines Bayesian networks (BNs) and Entropy Pooling (EP). In the new framework, BNs are used to generate a finite set of joint causal views / stress-tests for the...
Persistent link: https://www.econbiz.de/10014350645
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Financial Stress and Forecasting UK Equity Risk Premiums
Berry, William; Dietrich, Diemo; Sollis, Robert - 2022
We study the predictability of equity risk premiums for UK equity indexes, in particular whether stylized facts found for the US stock market also apply to the UK market. We compare the performance of economic and technical indicators with a particular focus on the time-varying nature of...
Persistent link: https://www.econbiz.de/10013291975
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Quanto Implied Correlation in a Multi-Lévy Framework
Ballotta, Laura - 2015
In this paper we apply the multivariate construction for Lévy processes introduced by Ballotta and Bonfiglioli (2014) to propose an integrated model for the joint dynamics of FX exchange rates and asset prices. We show that the proposed construction is consistent in terms of symmetries with...
Persistent link: https://www.econbiz.de/10013027591
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A Machine Learning Projection Method for Macro-Finance Models
Valaitis, Vytautas; Villa, Alessandro - 2022
This paper develops a simulation-based solution method to solve large state space macrofinance models using machine learning. We use a neural network (NN) to approximate the expectations in the optimality conditions in the spirit of the stochastic parameterized expectations algorithm (PEA)....
Persistent link: https://www.econbiz.de/10014083348
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Machine Learning Projection Methods for Macro-Finance Models
Villa, Alessandro T. - 2019
This paper develops a global simulation-based solution method to solve large states space macro-finance models using machine learning. We use an artificial neural network (ANN) to approximate the expectations in the optimality conditions in the spirit of the parameterized expectations algorithm...
Persistent link: https://www.econbiz.de/10012898854
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A machine learning projection method for macro-finance models
Valaitis, Vytautas; Villa, Alessandro T. - In: Quantitative economics : QE ; journal of the … 15 (2024) 1, pp. 145-173
We use supervised machine learning to approximate the expectations typically contained in the optimality conditions of an economic model in the spirit of the parameterized expectations algorithm (PEA) with stochastic simulation. When the set of state variables is generated by a stochastic...
Persistent link: https://www.econbiz.de/10014496944
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A machine learning projection method for macro-finance models
Valaitis, Vytautas; Villa, Alessandro T. - 2022
This paper develops a simulation-based solution method to solve large state space macrofinance models using machine learning. We use a neural network (NN) to approximate the expectations in the optimality conditions in the spirit of the stochastic parameterized expectations algorithm (PEA)....
Persistent link: https://www.econbiz.de/10013202712