Results 211 to 220 of about 1,362,662 (220)
Processes and Predictions in Ecological Models: Logic and Causality
Journal of Forecasting, EarlyView.ABSTRACT To make credible ecological predictions for terrestrial ecosystems in a changing environment and increase our understanding of ecological processes, we need plant ecological models that can be fitted to spatial and temporal ecological data.
Christian Damgaard
wiley +1 more source
Information Illusion: Different Amounts of Information and Stock Price Estimates
Journal of Forecasting, EarlyView.ABSTRACT We initiate a questionnaire‐based stock price forecast competition to analyze participants' perception of different amounts of information and the impact on stock price estimates. The results show that providing more information increases the perceived amount of relevant information but does not alter participants' stock price estimates and ...
Andreas Oehler +2 more
wiley +1 more source
Measuring the Impact of Transition Risk on Financial Markets: A Joint VaR‐ES Approach
Journal of Forecasting, EarlyView.ABSTRACT Based on a joint quantile and expected shortfall semiparametric methodology, we propose a novel approach to forecasting market risk conditioned to transition risk exposure. This method allows us to forecast two climate‐related financial risk measures called CoClimateVaR$$ CoClimateVaR $$ and CoClimateES$$ CoClimateES $$, being jointly ...
Laura Garcia‐Jorcano +1 more
wiley +1 more source
Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions
Journal of Forecasting, EarlyView.Abstract Reverse Unrestricted MIxed DAta Sampling (RU‐MIDAS) regressions are used to model high‐frequency responses by means of low‐frequency variables. However, due to the periodic structure of RU‐MIDAS regressions, the dimensionality grows quickly if the frequency mismatch between the high‐ and low‐frequency variables is large.
Alain Hecq, Marie Ternes, Ines Wilms
wiley +1 more source
Fundamentals Models Versus Random Walk: Evidence From an Emerging Economy
Journal of Forecasting, EarlyView.ABSTRACT We analyze the predictive power of fundamentals versus random walk models for horizons from 1 to 24 months in an emerging market. Specifically, we investigate what fundamentals models outperform random walk during periods of appreciation and depreciation of the exchange rate.
Helder Ferreira de Mendonça +2 more
wiley +1 more source
Stock Return Prediction Based on a Functional Capital Asset Pricing Model
Journal of Forecasting, EarlyView.ABSTRACT The capital asset pricing model (CAPM) is readily used to capture a linear relationship between the daily returns of an asset and a market index. We extend this model to an intraday high‐frequency setting by proposing a functional CAPM estimation approach.
Ufuk Beyaztas +3 more
wiley +1 more source
Journal of Futures Markets, EarlyView.ABSTRACT This paper aims to study the dynamic risk connection between the Climate Policy Uncertainty Index (CPU) of the United States and the grain commodity market. Our findings denote that (a) quantile spillover is stronger at extreme than median levels, underscoring the value of systematic risk spillovers in extreme market conditions.
Hongjun Zeng +3 more
wiley +1 more source
Pricing VXX Options With Observable Volatility Dynamics From High‐Frequency VIX Index
Journal of Futures Markets, EarlyView.ABSTRACT This paper develops a discrete‐time joint analytical framework for pricing volatility index (VIX) and VXX options consistently. We show that our framework is more flexible than continuous‐time VXX models as it allows the information contained in the high‐frequency VIX index to be incorporated for the joint pricing of VIX and VXX options, and ...
Shan Lu
wiley +1 more source
Global Strategy Journal, EarlyView.Abstract Research Summary We extend the property rights theory to show that stronger ownership control incentivizes owners to push for communalizing private environmental costs unless counterbalancing internal and external governance mechanisms are prevalent. Using a sample of 16,286 observations for 3275 firms across 43 countries between 2008 and 2017,
Punit Arora, Tanusree Jain, Ajai Gaur
wiley +1 more source