Similar Search Results

Warusawitharana, Missaka - Federal Reserve Board (Board of Governors of the … - 2011

The expected return to equity--typically measured as a historical average--is a key variable in the decision making of investors. A recent literature based on analysts forecasts and practitioner surveys finds estimates of expected returns that are sometimes much lower than historical averages....

Persistent link: https://www.econbiz.de/10008872031

The information content of the embedded deflation pption in TIPS

Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing - Federal Reserve Board (Board of Governors of the … - 2011

In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option...

Persistent link: https://www.econbiz.de/10009395282

Forecasting the path of China's CO2 emissions using province level information

Auffhammer, Maximilian; Carson, Richard Taylor - Department of Agricultural and Resource Economics, … - 2004

Persistent link: https://www.econbiz.de/10009493698

Unspanned macroeconomic factors in the yield curve

Coroneo, Laura; Giannone, Domenico; Modugno, Michele - Federal Reserve Board (Board of Governors of the … - 2014

In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of...

Persistent link: https://www.econbiz.de/10010886225

Structural change, parameter variation, and forecasting

Mindlak, Yair; Rausser, Gordon C. - Department of Agricultural and Resource Economics, … - 1976

Persistent link: https://www.econbiz.de/10010676513

Econometric model and futures markets commodity price forecasting

Just, Richard E.; Rausser, Gordon C. - Department of Agricultural and Resource Economics, … - 1979

Persistent link: https://www.econbiz.de/10010676539

Composite forecasting in commodity systems

Johnson, Stanley R; Rausser, Gordon C. - Department of Agricultural and Resource Economics, … - 1980

Persistent link: https://www.econbiz.de/10010676618

The Future Trajectory of US CO2 Emissions: The Role of State vs. Aggregate Information

Auffhammer, Maximilian; Steinhauser, Ralf - Department of Agricultural and Resource Economics, … - 2006

-of-sample performance of univariate and multivariate forecasting models by aggregating state level forecasts versus forecasting the … aggregate directly. We find evidence that forecasting the disaggregate series and accounting for spatial effects drastically … improves forecasting performance under Root Mean Squared Forecast Error Loss. Based on the in-sample observations we attempt to …

Persistent link: https://www.econbiz.de/10010676625

The Rationality of EIA Forecasts under Symmetric and Asymmetric Loss

Auffhammer, Maximilian - Department of Agricultural and Resource Economics, … - 2005

The United States Energy Information Administration publishes annual forecasts of nationally aggregated energy consumption, production, prices, intensity and GDP. These government issued forecasts often serve as reference cases in the calibration of simulation and econometric models, which...

Persistent link: https://www.econbiz.de/10010676638

Methods for Selecting the Optimal Dynamic Hedge When Production is Stochastic

Karp, Larry - Department of Agricultural and Resource Economics, … - 1986

A dynamic hedging problem with stochastic production is solved. The optimal feedback rules recognize that future hedges will be chosen optimally based on the most current information. The resulting distribution of revenue is analyzed numerically. This analysis enables the hedger to select his...

Persistent link: https://www.econbiz.de/10010537321

1
2
3
4
5
6
7
8
9
10
Next
Last