Data-driven adaptive hybrid models for exchange rate return forecasting. [PDF]
Front Big DataAdesina OS, Obokoh LO.
europepmc +1 more source
Parameter estimation in nonlinear AR–GARCH models [PDF]
This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a general nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a general ...
Mika Meitz, Pentti Saikkonen
core
Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function
International Statistical Review, EarlyView.Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler +3 more
wiley +1 more source
Geopolitical risks and the spillover of food market risks: case analysis of the Chinese grain market. [PDF]
Front NutrLi J, Yang Y.
europepmc +1 more source
Garch Parameter Estimation Using High-Frequency Data [PDF]
Estimation of the parameters of Garch models for financial data is typically based on daily close-to-close returns. This paper shows that the efficiency of the parameter estimators may be greatly improved by using volatility proxies based on intraday ...
Visser, Marcel P.
core
The expected inflation risk premium in the U.S. stock market
Journal of Financial Research, EarlyView.Abstract This article studies how expected inflation risk affects asset prices. We propose an ex‐ante, tradable proxy for this risk, derived from the term spread of gold futures prices. Using cross‐sectional and time series asset pricing tests, we show how an increase in expected inflation risk lowers contemporaneous prices and raises equity returns ...
Pascal Letourneau +2 more
wiley +1 more source
Another Look at the (Ir)Relevance of Long‐Run Risks for Equity Risk Premia
Journal of Money, Credit and Banking, EarlyView.Abstract I investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors ...
PAULO MAIO
wiley +1 more source
Impact of land use change on the long-term economic value of carbon sequestration in Central Alborz, Iran. [PDF]
Sci RepJoloro H +3 more
europepmc +1 more source
Excess Movement in Option‐Implied Beliefs
The Journal of Finance, EarlyView.ABSTRACT We derive bounds on the rational variation in option‐implied beliefs about market returns. While risk preferences distort option‐implied (or risk‐neutral) beliefs away from subjective beliefs, one can nonetheless bound risk‐neutral belief movement under a general assumption on the stochastic discount factor.
NED AUGENBLICK, EBEN LAZARUS
wiley +1 more source
Modeling Saudi stock index returns and volatility: a dual approach using GARCH and neural networks. [PDF]
Front Artif IntellAl-Besher S, Al-Najjar D.
europepmc +1 more source