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Essays On Return Predictability And Yield Factors
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Book Synopsis Essays on Return Predictability and Yield Factors by : Xuyang Ma
Download or read book Essays on Return Predictability and Yield Factors written by Xuyang Ma and published by . This book was released on 2014 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes three chapters in which the first two are on return predictability and the third is on yield curve and yield factors. The abstract of each of them is as follows: 1), This paper proposes using capital gains instead of total returns in return predictability tests. Total return predictability can be inferred from capital gain predictability since total returns with dividends are highly correlated with returns based on capital gains only. An exact linear relationship exists among log dividend growth, log capital gain and log dividend price ratio. This exact linear relationship has similar implication as the Campbell-Shiller (1988) linear approximation but is more precise and easier for predictability tests. I verify the standard empirical findings on return predictability using capital gain predictability. Separation of price change and dividend change also leads to a new finding: shocks to dividend growth is shown to have significant positive correlation with shocks to dividend price ratio in the vector autoregressive regression (VAR) rather than close to zero as shown in previous literature. 2), This paper tests the return predictability of the cyclical and trend components in the log dividend price ratio. The log dividend ratio is found to have a near-unit root trend factor if the expectation of the future discount factor is highly persistent. We use Bayesian analysis and the Kalman filter to extract the strictly stationary and near-random-walk components in the log dividend price ratio. The extracted cyclical process can predict one-year ahead total returns during the post-war period and one-year ahead dividend growth rates during the pre-war and war period with notable R^2. We also demonstrate a reverse of predictability: returns become more predictable while dividend growth rates become more unpredictable. 3), This paper examines the fourth principal component of the yields matrix, which is largely ignored in macro-finance forecasting applications, in the context of predicting excess bond returns. Using yields data from the Fama-Bliss and the Federal Reserve, we present the significant in-sample and out-of-sample predictive power of models including the fourth yield factor. Additionally, the "return-forecasting factor" in Cochrane and Piazzesi (2005) is shown to be a restricted linear combination of all yield factors and to be highly correlated with the second and fourth factors. We interpret the fourth yield factor as a factor representing "S-shape" (the shape of a sigmoid curve) and demonstrate the connection between the S-shape factor and the yield curve.
Book Synopsis Essays on Return Predictability in Financial Markets by : Chan R. Mang
Download or read book Essays on Return Predictability in Financial Markets written by Chan R. Mang and published by . This book was released on 2012 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: My thesis examines return predictability in government bond markets and currency markets. In Chapter 1, I take the term structure model in Cochrane and Piazzesi (2008) and construct currency market prices. The implied currency market prices are then counterfactually volatile and predictable, at least with respect to commonly used predictor variables. Getting the model closer to currency market data means reducing bond risk compensation but doing so nearly eliminates predictability in bond markets. One way to generate sensible time-variation in bond and currency risk-premia allows the volatility of returns to be time-varying. In Chapter 2, I test if alternative forecast rules perform better than the return-forecasting factor of Cochrane and Piazzesi (2008). I compare forecasts assuming all historical data is available to recursively made ones that are revised with the arrival of news. Differences in the two forecast rules systematically move with realized bond risk-premia and forecast mean yield curve levels and short-term interest rates one year ahead not just for the U.S., but also for government bond markets of other industrialized economies. I show that lower long-term rates relative to short-rates in 2004-2005 is consistent with an expected a decline of interest rates by market participants. In Chapter 3, I show that the cross-sectional average spread in the return-forecasting factor of Cochrane and Piazzesi (2005, 2008) can forecast currency risk-premia. However, the return-forecasting factor spread consistent with real-time data does not forecast currency risk-premia. I also find that both currency risk-premia and exchange rate changes have a predictable component that is detected by the information gap, what I call the hidden FX market factor, between forecasts that take as given the full sample of data and those consistent with real-time availability. Controlling for large and transitory exchange rate changes using this information gap make interest rate differentials between the average foreign country and the U.S. positively correlated with dollar appreciation rates, delivering the right sign predicted by uncovered interest parity.
Book Synopsis Essays on Stock Return Predictability and Portfolio Allocation by : Bradley Steele Paye
Download or read book Essays on Stock Return Predictability and Portfolio Allocation written by Bradley Steele Paye and published by . This book was released on 2004 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Return Predictability by : Arthur Ritter
Download or read book Stock Return Predictability written by Arthur Ritter and published by GRIN Verlag. This book was released on 2015-05-27 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (postgraduate) from the year 2015 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 17 (1,3), University of St Andrews (School of Management), course: Investment and Portfolio Management, language: English, abstract: Empirical evidence of stock return predictability obtained by financial ratios or macroeconomic factors has received substantial attention and remains a controversial topic to date. This is no surprise given that the existence of return predictability is not only of interest to practitioners but also introduces severe implications for financial models of risk and return. Founded on the assumption of efficient capital markets, research on capital asset pricing models has instigated this emergence of stock return predictability factors. Analysing these factors categorically, this paper will provide a balanced discussion of advocates as well as sceptics of stock return predictability. This essay will commence by firstly outlining the fundamental assumptions of an efficient capital market and its implications for return predictability. Subsequently, a thorough focus will be placed on the most significant predictability factors, including fundamental financial ratios and macroeconomic indicators as well as the validity of sampling methods used to attain return forecasts. Lastly this essay will reflect on the findings while proposing areas of further research.
Book Synopsis Essays on Return Predictability and Volatility Estimation by : Yuzhao Zhang
Download or read book Essays on Return Predictability and Volatility Estimation written by Yuzhao Zhang and published by . This book was released on 2008 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Predictability and Volatility of Returns in the Stock Market by : Ruojun Wu
Download or read book Essays on the Predictability and Volatility of Returns in the Stock Market written by Ruojun Wu and published by . This book was released on 2008 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies the effect of parameter uncertainty on the return predictability and volatility of the stock market. The first two chapters focus on the decomposition of market volatility, and the third chapter studies the return predictability. When facing imperfect information, the investors tend to form a learning scheme that encompasses both historical data and prior beliefs. In the variance decomposition framework, the introducing of learning directly impacts the way that return forecasts are revised and consequently the relative component of market volatility based on these forecasts, namely the price movements from revision on future discount rates and those from future cash flows. According to the empirical study in Chapter 1, the former is not necessarily the major driving force of market volatility, which provides an alternative view on what moves stock prices. Learning is modeled and estimated by Bayesian method. Chapter 2 follows the topic in Chapter 1 and studies the role of persistent state variables in return decomposition in order to provide more robust inference on variance decomposition. In Chapter 3 we propose to utilize theoretical constraints to help predict market returns when in sample data is very noisy and creates model uncertainty for the investors. The constraints are also incorporated by Bayesian method. We show in the out-of-sample forecast experiment that models with theoretical constraints produce better forecasts.
Book Synopsis Essays in Financial Economics by : Sung Bin Sohn
Download or read book Essays in Financial Economics written by Sung Bin Sohn and published by . This book was released on 2012 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays in financial economics. The first two essays explore how initial public offerings are affected by various stock market conditions. In the third essay, I study the meaning of innovations in investor sentiment. In the first essay, I use cointegration techniques to decompose stock market shocks into permanent and transitory shocks, building on the idea that transitory shocks should not have long-run effects on dividends and stock prices. The decomposed shocks improve on existing valuation measures by indicating the extent to which market value is driven by permanent or transitory fluctuations. I then examine the effects of these shocks on several aspects of IPOs, and find that (1) despite the lack of long-run effects on firms' value, more firms go public in response to stronger transitory shocks; (2) firms that go public after stronger transitory shocks underperform their benchmark more severely in the long run; (3) during the book-building period, managers are more likely to limit secondary share sales after stronger transitory shocks; and (4) managers who limit secondary share sales further during the book-building period exhibit more severe long-run underperformance. These findings are consistent with the hypothesis that transitory shocks induce more IPOs that opportunistically exploit temporarily higher market valuation than IPOs that finance profitable projects in better market conditions. The findings are also consistent with the hypothesis that managers are more prone to become overconfident after stronger transitory shocks and that the resulting overconfidence leads to long-run underperformance. The decomposition methodology can also be applied to other corporate finance decisions such as SEOs, mergers and investments. The second essay establishes a model that incorporates both uncertainty and dispersion of opinion to examine how these two factors affect IPO stock performance. The model predicts that, unlike uncertainty, dispersion of opinion has nonlinear effects. There is a threshold of dispersion of opinion below which the dispersion does not affect IPO stock performance. Above the threshold, on the other hand, larger dispersion of opinion bids up the stock price higher and consequently yields the lower long-run return. The level of the threshold is increasing in the amount of free-floating shares in the market. Since IPO firms tend to have relatively small free-floating shares than other listed firms, IPO stocks are more subject to the dispersion of opinion. Thus, empirical researches that do not control the dispersion of opinion can produce misleading results on IPO performance. The model also predicts IPOs observations are subject to self-selection bias. Private firms would decide not to go public under the combination of high uncertainty and small dispersion of opinion, which could actually yield high long-run returns. This prediction helps explain the time variation of IPO volume and the general pattern of IPO long-run underperformance. The third essay tries to understand the meaning of innovations in investor sentiment. The role of investor sentiment in the stock market has attracted attentions of economists. Previous papers show that investor sentiment has return predictability and it is more pronounced among stocks that are more difficult to value and to arbitrage, and emphasize the behavioral role of investor sentiment. However, it still remains unclear whether this predictability is due to a causal effect of autonomous animal spirits or not. Alternatively, investor sentiment may reflect systematic risks and the predictability could be mere coincidence, not causation. For a structural interpretation, I introduce a modified version of the long-run risks model in which sentiment innovations arise from both animal spirit shocks and several risk shocks, and animal spirit shocks could affect stock returns. By matching impulse responses from data simulated according to the theoretical model to those from actual data, I estimate parameters in the model. The estimated model moderately replicates the historical data in the actual stock market. The estimation results show that a substantial amount of variation in investor sentiment is explained by systematic risk shocks as well as by animal spirit shocks, and that animal spirit shocks can have significant effects on stock returns. The findings suggest that investor sentiment is a noisy proxy of animal spirits and that autonomous animal spirits are at least in part responsible for the apparent return predictability of investor sentiment.
Book Synopsis Essays on Asset Return Predictability by : Sung-Hwan Shin
Download or read book Essays on Asset Return Predictability written by Sung-Hwan Shin and published by . This book was released on 1993 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk, Ambiguity, and Anomalies in the Fixed Income Market by : Zhan Shi
Download or read book Risk, Ambiguity, and Anomalies in the Fixed Income Market written by Zhan Shi and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains five essays on the implications of risks and ambiguity for asset pricing puzzles, especially in the fixed income market. The first essay studies the effects of time-varying Knightian uncertainty (ambiguity) on equilibrium asset prices; the second and third essays focus on the term premia in the nominal and real Treasury bond markets; The last two examine the performance of structural models of credit risk in explaining the levels and changes of corporate yield spreads.In the first essay, I consider a continuous-time Lucas exchange economy in which an ambiguity-averse agent applies a discount rate that is adjusted not only for the current magnitude of ambiguity but also for the risk associated with its future fluctuations. As such, both the ambiguity level and volatility help raise asset premia and accommodate richer dynamics of asset prices. With a novel measure for the ambiguity level, I show that the estimated model is able to explain a wide range of asset markets anomalies, including the equity premium puzzle, the risk-free rate puzzle, the credit spread puzzle, and the expectations puzzle. In particular, this paper establishes both theoretical and empirical linkages of ambiguity with the unspanned predictability in the Treasury market. Furthermore, the proposed ambiguity measure is found to exhibit significant predictive power for excess returns on equities and bonds as well as for corporate yield spreads, a finding that justifies uncertainty channels highlighted in the model.The remaining four essays are based on work that is coauthored with Professor Jingzhi Huang. In the second chapter, we provide new and robust evidence on the power of macro variables for forecasting bond risk premia by using a recently developed model selection method--the supervised adaptive group "leastabsolute shrinkage and selection operator" (lasso) approach. We identify a single macro factor that can not only subsume the macro factors documented in the existing literature but also can substantially raise their forecasting power for future bond excess returns. Specifically, we find that the new macro factor, a linear combination of four group factors (including employment, housing, and price indices), can explain the variation in excess returns on bonds with maturities ranging from 2 to 5 years up to 43%. The new factor is countercyclical and furthermore picks up unspanned predictability in bond excess returns. Namely, the new macro factor contains substantial information on expected excess returns (as well as expected future short rates) but has negligible impact on the cross section of bond yields.In the third essay, we document a number of new empirical findings about the dynamic behavior and economic determinants of risk premia on real bonds. Specifically, we find that the real bond risk premium changes over time and fluctuates between positive and negative values. We also find that the real term structure itself contains a component that drives risk premia but is undetectable from cross section of bond yields. In addition, we present evidence on the link between real bond premia and macroeconomic variables. More specifically, we find that macro factors associated with real estate and consumer income and expenditure can capture a large portion of forecastable variation in excess returns on real bonds. These empirical findings have important implications for both affine term structure models and consumption-based asset pricing models of real bonds.The fourth essay provides new insights into the equity-credit market integration puzzle. Empirical evidence has documented that while variables suggested by structural credit risk models can explain only a small portion of corporate bond spread changes (Collin-Dufresne, Goldstein, and Martin 2001), these models provide quite accurate predictions of hedge ratios for corporate bond returns (Schaefer and Strebulaev 2008). These two stylized facts together are often considered to have conflicting implications for the level of integration between equity and credit markets -- given the fundamental relationship between corporate bond spread changes and returns. we provide a rational explanation of this anomaly by demonstrating that the two aforementioned seemingly conflicting findings can be reconciled with each other within the standard structural modeling framework. In particular, we show empirically that sensitivities of spread changes to leverage ratio or equity predicted by the Merton (1974) model are not rejected in time-series tests -- namely, the Merton hedge ratios for spread changes are too consistent with data. That is, the equity-credit market integration puzzle can be explained from a traditional hedging perspective.In the last essay, we empirically examine the hedging performance of structural models using data on corporate bond transaction prices over the period July 2002--December 2012 from the Trade Reporting and Compliance Engine (TRACE) database. While there is a large literature on the pricing performance of structural credit risk models, there is little empirical evidence on the empirical performance of these models on hedging corporate bonds. We find that the Merton (1974) model is not as useful as univariate regression models for the purpose of hedging corporate bond returns with equity. Further, for investment-grade bonds, hedging with Treasury bonds with a hedge ratio of unity is more effective than the Merton delta hedging with equity. However, we find that the Merton model is more useful for the purpose of hedging corporate bond spread changes, especially for high-yield bonds. Lastly, we also investigate the pricing performance of the Merton model. We find that on average the model overestimates (underestimates) prices (yield spreads) of bonds in our sample. Specifically, the model overestimates prices of corporate bonds by 1.87% on average. To sum, the evidence based on more recent data on transaction prices indicates that the Merton model still underpredicts yield spreads, especially for short-maturity or investment-grade bonds.
Book Synopsis Essays on Return Predictability and Portfolio Choice by : Emmanuel Eyiah-Donkor
Download or read book Essays on Return Predictability and Portfolio Choice written by Emmanuel Eyiah-Donkor and published by . This book was released on 2017 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Return Predictability and Term Structure Modelling by : Sebastian Fux
Download or read book Essays on Return Predictability and Term Structure Modelling written by Sebastian Fux and published by . This book was released on 2014 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Financial Economics by : Francisco Jose Guedes dos Santos
Download or read book Essays in Financial Economics written by Francisco Jose Guedes dos Santos and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays that examine various problems in financial economics. Chapter 1 fills in a gap in the IPO literature by documenting a close connection between IPO underpricing and the long-term underperformance of IPOs. Firms going public in periods of low underpricing do not underperform in the long run, while firms going public in high underpricing periods do. Furthermore, IPOs in later stages of high underpricing periods underperform even relative to their offer prices, which suggests that many of the most "underpriced" IPOs are in fact priced above fundamental value. This result is unlikely to be explained by differences in risk, or to be driven by a peso problem. I also find that firms going public in later stages of high underpricing periods display worse operating performance and profitability, lower asset growth, lower investment rates and higher cash holdings. Finally, I provide evidence that investor sentiment is stronger in high-underpricing periods. These results are consistent with a setting in which low quality firms, in periods in which the average underpricing in the market is high, try to exploit investors' sentiment by going public. Chapter 2 looks at the return predictability information in Single Country Closed-End Fund (SCCEF) discounts. It is long argued that discounts in closed-end funds are caused by differences in sentiment between investors that trade the fund and investors that trade the underlying assets. SCCEFs provide an interesting setting given the clear market segmentation. American SCCEFs are priced by American investors, while underlying assets are mainly traded by investors in the respective country. I argue that if cross-sectional and time-series variation in SCCEFs are linked to differences in sentiment, then the SCCEF discount can be used to predict future performance of SCCEFs, international stock markets, or both. The evidence on international stock markets' return predictability using SCCEF discounts is mixed. A trading strategy designed to exploit potential differences in sentiment by buying and selling international stock indices delivers alphas of around 90bps per month in an International CAPM. Adding three extra factors: value, size and momentum in U.S. equity does not change the result. However, once we control for international value and momentum in stock markets, we no longer observe positive alphas for short-horizon investments. The evidence on SCCEF return predictability from SCCEF discounts is very strong. For all three asset pricing models considered, a strategy that exploits differences in sentiment yields positive alphas, with magnitudes ranging from 2% to 4% per month. In Chapter 3, I investigate how the stock market reacts to earnings surprises announced during major sport events in the U.S. In a rational and frictionless market, investors should not react differently to announcements released during sport events. However, major sport events combine two known psychological biases. First, sports can be distracting, impairing investors' judgment. Second, sports can change people's mood. Hence, through these biases, market prices could be affected. Considering the Super Bowl, World Series of Baseball and NBA finals I find that investors, immediately after sport events, underreact to positive surprises, and overreact to negative surprises in earnings. After this initial reaction, I find that, investors undo their 'mistakes' in the following weeks to the announcement. However, for the most negative and positive surprises, they over-compensate. In this study, I show that non relevant financial events have an impact on market prices. Moreover, I show that the observed impact cannot be explained only by limited attention, as investor mood seems to be crucial to explain investors' reactions.
Book Synopsis Three Essays on Stock Market Volatility and Stock Return Predictability by : Shu Yan
Download or read book Three Essays on Stock Market Volatility and Stock Return Predictability written by Shu Yan and published by . This book was released on 2000 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Financial Economics by : Francisco Jose Guedes dos Santos
Download or read book Essays in Financial Economics written by Francisco Jose Guedes dos Santos and published by Stanford University. This book was released on 2011 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays that examine various problems in financial economics. Chapter 1 fills in a gap in the IPO literature by documenting a close connection between IPO underpricing and the long-term underperformance of IPOs. Firms going public in periods of low underpricing do not underperform in the long run, while firms going public in high underpricing periods do. Furthermore, IPOs in later stages of high underpricing periods underperform even relative to their offer prices, which suggests that many of the most "underpriced" IPOs are in fact priced above fundamental value. This result is unlikely to be explained by differences in risk, or to be driven by a peso problem. I also find that firms going public in later stages of high underpricing periods display worse operating performance and profitability, lower asset growth, lower investment rates and higher cash holdings. Finally, I provide evidence that investor sentiment is stronger in high-underpricing periods. These results are consistent with a setting in which low quality firms, in periods in which the average underpricing in the market is high, try to exploit investors' sentiment by going public. Chapter 2 looks at the return predictability information in Single Country Closed-End Fund (SCCEF) discounts. It is long argued that discounts in closed-end funds are caused by differences in sentiment between investors that trade the fund and investors that trade the underlying assets. SCCEFs provide an interesting setting given the clear market segmentation. American SCCEFs are priced by American investors, while underlying assets are mainly traded by investors in the respective country. I argue that if cross-sectional and time-series variation in SCCEFs are linked to differences in sentiment, then the SCCEF discount can be used to predict future performance of SCCEFs, international stock markets, or both. The evidence on international stock markets' return predictability using SCCEF discounts is mixed. A trading strategy designed to exploit potential differences in sentiment by buying and selling international stock indices delivers alphas of around 90bps per month in an International CAPM. Adding three extra factors: value, size and momentum in U.S. equity does not change the result. However, once we control for international value and momentum in stock markets, we no longer observe positive alphas for short-horizon investments. The evidence on SCCEF return predictability from SCCEF discounts is very strong. For all three asset pricing models considered, a strategy that exploits differences in sentiment yields positive alphas, with magnitudes ranging from 2% to 4% per month. In Chapter 3, I investigate how the stock market reacts to earnings surprises announced during major sport events in the U.S. In a rational and frictionless market, investors should not react differently to announcements released during sport events. However, major sport events combine two known psychological biases. First, sports can be distracting, impairing investors' judgment. Second, sports can change people's mood. Hence, through these biases, market prices could be affected. Considering the Super Bowl, World Series of Baseball and NBA finals I find that investors, immediately after sport events, underreact to positive surprises, and overreact to negative surprises in earnings. After this initial reaction, I find that, investors undo their 'mistakes' in the following weeks to the announcement. However, for the most negative and positive surprises, they over-compensate. In this study, I show that non relevant financial events have an impact on market prices. Moreover, I show that the observed impact cannot be explained only by limited attention, as investor mood seems to be crucial to explain investors' reactions.
Book Synopsis Essays in Economic Dynamics by : Akio Matsumoto
Download or read book Essays in Economic Dynamics written by Akio Matsumoto and published by Springer. This book was released on 2016-09-22 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reflects the state of the art in nonlinear economic dynamics, providing a broad overview of dynamic economic models at different levels. The wide variety of approaches ranges from theoretical and simulation analysis to methodological study. In particular, it examines the local and global asymptotical behavior of both macro- and micro- level mathematical models, theoretically as well as using simulation. It also focuses on systems with one or more time delays for which new methodology has to be developed to investigate their asymptotic properties. The book offers a comprehensive summary of the existing methodology with extensions to the more complex model variants, since considerations on bounded rationality of complex economic behavior provide the foundation underlying choice-theoretic and policy-oriented studies of macro behavior, which impact the real macro economy. It includes 13 chapters addressing traditional models such as monopoly, duopoly and oligopoly in microeconomics and Keynesian, Goodwinian, and Kaldor–Kaleckian models in macroeconomics. Each chapter presents new aspects of these traditional models that have never been seen before. This work renews the past wisdom and reveals tomorrow's knowledge.
Book Synopsis Essays in Nonlinear Time Series Econometrics by : Niels Haldrup
Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by OUP Oxford. This book was released on 2014-06-26 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Book Synopsis Essays in Honor of M. Hashem Pesaran by : Alexander Chudik
Download or read book Essays in Honor of M. Hashem Pesaran written by Alexander Chudik and published by Emerald Group Publishing. This book was released on 2022-01-18 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: The collection of chapters in Volume 43 Part A of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.
