Results 281 to 290 of about 22,550,025 (364)

Real‐Time Forecasting Using Mixed‐Frequency VARs With Time‐Varying Parameters

Journal of Forecasting, EarlyView.
ABSTRACT This paper provides a detailed assessment of the real‐time forecast accuracy of a wide range of vector autoregressive models that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed‐frequency time‐varying parameter vector autoregressive model with stochastic ...
Markus Heinrich, Magnus Reif
wiley   +1 more source

Forecasting Energy Efficiency in Manufacturing: Impact of Technological Progress in Productive Service and Commodity Trades

Journal of Forecasting, EarlyView.
ABSTRACT This paper employs the theory of biased technological progress to assess the effects of technological advancements across diverse trades, with a particular emphasis on predicting energy efficiency. A translog cost function model is developed, integrating five critical types of energy inputs.
Zixiang Wei, Yongchao Zeng, Yingying Shi, Ioannis Kyriakou, Muhammad Shahbaz   +4 more
wiley   +1 more source

Climate Change Risk and Financial Market Response: An International Evidence From Performance Forecasts by Financial Analysts

Journal of Forecasting, EarlyView.
ABSTRACT This study examines the effect of climate change exposure on analysts' forecasted stock performance operationalized by their actual recommendations. Our results indicate that firms with higher exposure to climate change receive less favorable recommendations from analysts.
Cyrine Khiari, Imen Khanchel, Hatem Rjiba, Josephat Daniel Lotto, Nazim Hussain   +4 more
wiley   +1 more source

An Econometric Analysis of Impact of Part-Time Farming on Technical Efficiency in Agricultural Production

, 2001
Yong-liang Ma
openalex   +2 more sources

Micro econometric models for agricultural sector analysis [PDF]

Oude Lansink, A.G.J.M., Peerlings, J.
core   +2 more sources

Measuring the Default Risk of Small Business Loans: Improved Credit Risk Prediction Using Deep Learning

Journal of Forecasting, EarlyView.
ABSTRACT This paper proposes a multilayer artificial neural network (ANN) method to predict the probability of default (PD) within a survival analysis framework. The ANN method captures hidden interconnections among covariates that influence PD, potentially leading to improved predictive performance compared to both logit and skewed logit models.
Yiannis Dendramis, Elias Tzavalis, Aikaterini Cheimarioti   +2 more
wiley   +1 more source

The Information Content of Overnight Information for Volatility Forecasting: Evidence From China's Stock Market

Journal of Forecasting, EarlyView.
ABSTRACT Using overnight volatility as the proxy for overnight information, this paper models future Chinese stock market realized range–based volatility (RRV) within a class of heterogeneous autoregressive models augmented by this proxy. We confirm the important role of overnight information in volatility forecasting models with strong evidence from ...
Yi Zhang, Long Zhou, Zhidong Liu
wiley   +1 more source

Commodity Option Return Predictability

Journal of Futures Markets, EarlyView.
ABSTRACT This paper investigates the predictability of delta‐hedged commodity option returns using 103 predictors. We estimate several linear and nonlinear machine learning models and forecast ensembles using futures options data on seven commodities.
Constant Aka, Marie‐Hélène Gagnon, Gabriel J. Power   +2 more
wiley   +1 more source

Trading Games: Beating Passive Strategies in the Bullish Crypto Market

Journal of Futures Markets, EarlyView.
ABSTRACT This study examines the effectiveness of cointegrated pairs trading in cryptocurrency markets, introducing systematic parameter optimization within the trading framework. The analysis is conducted using a dataset comprising ten major cryptocurrencies, selected based on market capitalization and consensus mechanism, spanning the period from ...
Rafael Baptista Palazzi
wiley   +1 more source

Volatility Risk and Volatility‐of‐Volatility Risk: State‐Dependent Correlations Between VIX and the S&P 500 Stock Index and Hedging Effectiveness

Journal of Futures Markets, EarlyView.
ABSTRACT Our research is one of the first to provide evidence to distinguish between two types of uncertainty: the volatility (VOL) risk and the volatility‐of‐volatility (VOV) risk. We outline a theoretical framework of state‐dependent correlations between the S&P 500 stock index and volatility index (VIX).
Leon Li, Carl R. Chen
wiley   +1 more source