Forecasting and empirical methods in finance and macroeconomics
نویسندگان
چکیده
منابع مشابه
Forecasting Methods in Finance
Our review highlights some of the key challenges in financial forecasting problems along with opportunities arising from the unique features of financial data. We analyze the diffi culty of establishing predictability in an environment with a low signal-to-noise ratio, persistent predictors, and instability in predictive relations arising from competitive pressures and investors’ learning. We d...
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Three of the papers examine the relationship between financial asset valuations and macroeconomic fundamentals. Hall tries to account for corporate equity valuations using fundamentals such as taxes, risk, and depreciation with mixed results. Bernanke and Kuttner also examine the fundamental determinants of equity prices, but they focus only on monetary policy surprises, which appear to have a ...
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Stock market is affected by news and information. If the stock market is not efficient, the reaction of stock price to news and information will place the stock market in overreaction and under-reaction states. Many models have been already presented by using different tools and techniques to forecast the stock market behavior. In this study, the reaction of stock price in the stock market was ...
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In order to test whether scaling exists in finance at the world level, we test whether the average growth rates and volatility of market capitalization (MC) depend on the level of MC. We analyze the MC for 54 worldwide stock indices and 48 worldwide bond indices. We find that (i) the average growth rate 〈r〉 of the MC and (ii) the standard deviation σ(r) of growth rates r decrease both with MC a...
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در این پایان نامه به بررسی روش های آشکارسازی در سیستم های mc-cdma می پردازیم. با توجه به ماهیت آشکارسازی در این سیستم ها، تکنیک های آشکارسازی را می توان به دو دسته ی اصلی تقسیم نمود: آشکارسازی سیگنال ارسالی یک کاربر مطلوب بدون در نظر گرفتن اطلاعاتی در مورد سایر کاربران تداخل کننده که از آن ها به عنوان آشکارساز های تک کاربره یاد می شود و همچنین آشکارسازی سیگنال ارسالی همه ی کاربران فعال موجود در...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2001
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(01)00067-7