Results 131 to 140 of about 216,288 (309)
Intraday Functional PCA Forecasting of Cryptocurrency Returns
Journal of Forecasting, EarlyView.ABSTRACT We study the functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account.
Joann Jasiak, Cheng Zhong
wiley +1 more source
High-Order Consumption Moments and Asset Pricing [PDF]
To assess the potential of incomplete consumption insurance for explaining the equity premium and the risk-free rate of return, we use a Taylor series expansion of the individual's marginal utility of consumption around the conditional expectation of ...
Andrei Semenov
core
Lost in Translation? Risk‐Adjusting RMSE for Economic Forecast Performance
Journal of Forecasting, EarlyView.ABSTRACT When used for parameter optimization and/or model selection, traditional mean squared error (MSE)–based measures of forecast accuracy often exhibit a weak or even negative correlation with the economic value of return forecasts measured by, for example, the Sharpe ratios of the resulting portfolios.
Lukas Salcher +2 more
wiley +1 more source
Uninsurable Risk and Financial Market Puzzles [PDF]
Following Kocherlakota and Pistaferri (2009), we consider two forms of incomplete risk sharing in economies with consumer heterogeneity: (a) where agents are unable to insure their consumption against idiosyncratic skill shocks and (b) where ...
Basu, Parantap +2 more
core +1 more source
Why Do Hedgers Hedge? The Role of Ambiguity
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates whether ambiguity influences hedging behavior in commodity futures markets. Using high‐frequency crude oil futures data, distinct measures of risk and ambiguity are linked to weekly hedging positions from the Commodity Futures Trading Commission (CFTC).
Fiona Höllmann
wiley +1 more source
Interpreting equity price movements since the start of the financial crisis [PDF]
Equity markets have experienced large price movements since the financial crisis began in mid-2007. Understanding the factors that drive equity prices is important for policymakers as they may contain information about the future course of the economy ...
Inkinen, Mika +2 more
core
Quadratic Hedging of American Options Under GARCH Models
Journal of Futures Markets, EarlyView.ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley +1 more source
The Equity Premium in Retrospect [PDF]
This article takes a critical look at the literature on equity premium puzzle - the inability of standard intertemporal economic models to rationalize the statistics that have characterized U.S. financial markets over the past century.
Edward C. Prescott, Rajnish Mehra
core
The International Journal of Health Planning and Management, EarlyView.ABSTRACT Rising numbers of refugees, prolonged displacement and reduced funding have led to challenges in terms of how to address their healthcare needs, with different approaches taken, ranging from parallel mechanisms to arrangements that are integrated (to different extents) within the national health system. Increasingly, global frameworks call for
Maria Paola Bertone +13 more
wiley +1 more source
Equity Risk Premium: Historic, Expected, Required and Implied [PDF]
The equity premium (also called market risk premium, equity risk premium, market premium and risk premium), is one of the most important, discussed but elusive parameters in finance.
Fernandez, Pablo
core +1 more source