Mixing Frequencies: Stock Returns as a Predictor of Real Output Growth

Mixing Frequencies: Stock Returns as a Predictor of Real Output Growth

We investigate two methods for using daily stock returns to forecast, and update forecasts of, quarterly real output growth. Both methods aggregate daily returns in some manner to form a single stock market variable. We consider (i) augmenting the quarterly AR(1) model for real output growth with da...

Saved in:

書目詳細資料
主要作者:	TAY, Anthony S.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2006
主題:	Forecasting Mixed Data Sampling Functional linear regression Test forSuperior Predictive Ability Econometrics Finance
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/949 https://ink.library.smu.edu.sg/context/soe_research/article/1948/viewcontent/Tay_2006.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

相似書籍

Financial variables as predictors of real output growth
由: Tay, Anthony S.
出版: (2007)

FORECASTING WITH MIXED FREQUENCY DATA
由: KIMBERLY KAYE T. MOSQUERA
出版: (2019)

Robust forecast comparison
由: JIN, Sainan, et al.
出版: (2016)

Reading competencies in the primary and intermediate levels as predictors of aptitude for high school
由: Ouano, Jerome A.
出版: (2010)

Nonparametric Predictive Regression
由: KASPARIS, Ioannis, et al.
出版: (2015)

Effects of ability mixing in high school on adulthood earnings: Quasiexperimental evidence from South Korea
由: Kang, C., et al.
出版: (2011)

The impact of transaction duration, volume and direction on price dynamics and volatility
由: TAY, Anthony S., et al.
出版: (2011)

Long-Term Earnings Forecasts, Managerial Distortion, and Stock Returns
由: Hameed, Allaudeen, et al.
出版: (2023)

The validity of the CTMM and the CTP in predicting scholastic success and the relationship of the CTP to other variables
由: Soledad, Leticia C.
出版: (1973)

Cost-effective estimation of the population mean using prediction estimators
由: FUJII, Tomoki, et al.
出版: (2013)

Dynamic misspecification in nonparametric cointegrating regression
由: KASPARIS, Ioannis, et al.
出版: (2012)

Dynamic regressions with variables observed at different frequencies
由: ABEYSINGHE, Tilak, et al.
出版: (2000)

Weak convergence to stochastic integrals for econometric applications
由: LIANG, Hanying, et al.
出版: (2016)

Bootstrapping the sample means for stationary mixing sequences
由: Shao, Q.-M., et al.
出版: (2014)

A STUDY OF THE SUPPLY AND DEMAND OF FACTORY SPACE IN SINGAPORE, 1985-1994
由: NG MEI TENG
出版: (2019)

STUDY OF THE SUPPLY & DEMAND OF FACTORY SPACE IN SINGAPORE 1985-1994
由: NG MEI TENG
出版: (2020)

Nonparametric Prewhitening Estimators for Conditional Quantiles
由: SU, Liangjun, et al.
出版: (2008)

The Impact of Transaction Duration, Volume and Direction on Price Dynamics and Volatility
由: Tay, Anthony, et al.
出版: (2011)

Estimating selection models without instrument with Stata
由: D’Haultfœuille, Xavier, et al.
出版: (2020)

Low-rank panel quantile regression: Estimation and inference
由: WANG, Yiren, et al.
出版: (2022)

Predictors of achievement in college algebra
由: Monta, Florentina Daquila
出版: (1997)

Distributed multivariate regression based on influential observations
由: Yu, H., et al.
出版: (2013)

Learning difficulties of the 1967-68 San Ildefonso College fifth graders as revealed by standardized tests
由: La Madrid, Marie Andre
出版: (1969)

RankSVR: Can preference data help regression?
由: Yu, H., et al.
出版: (2013)

ESG and the market return
由: CHANG, Ran, et al.
出版: (2021)

Do expected business conditions explain the value premium?
由: Fong, W.M.
出版: (2013)

PATH PLANNING FOR MULTIPLE TYPES OF AUTONOMOUS VEHICLES
由: OOI BOON HOOI
出版: (2019)

Nonparametric Conditional Density Estimation, with an Application to Stock Returns Volatility
由: Tay, Anthony
出版: (2004)

Are bond returns predictable with real-time macro data?
由: HUANG, Dashan, et al.
出版: (2023)

Robustify Financial Time Series Forecasting with Bagging
由: JIN, Sainan, et al.
出版: (2014)

EXAMINING PREDICTABILITY IN THE DISTRIBUTION OF STOCK MARKET RETURNS USING A QUANTILE-BASED APPROACH: A STUDY ON ASEAN STOCK MARKET INTEGRATION
由: SYRONE JOHN LAQUINDANUM DAVID
出版: (2019)

Density Forecasting: A Survey
由: TAY, Anthony S., et al.
出版: (2000)

A study of the demutualization of the Philippine stock exchange and its effect on stock return volatility
由: Kabigting, Leila Y.C.
出版: (2002)

On Joint Modelling and Testing for Local and Global Spatial Externalities
由: YANG, Zhenlin
出版: (2006)

Phase I study of surgical performances with risk-adjusted Shewhart control charts
由: Zhang, L., et al.
出版: (2014)

A comparative study and counseling program for the OLMAT
由: Cosico, Elsa, FdCC
出版: (1974)

How Predictable is the Chinese Stock Market?
由: JIANG, Fuwei, et al.
出版: (2011)

Testing Structural Change in Time-Series Nonparametric Regression Models
由: SU, Liangjun, et al.
出版: (2008)

Evaluation of real-time methods for epidemic forecasting
由: LEE HUEY CHYI
出版: (2011)

Classroom peer effects and academic achievement: Quasi-randomization evidence from South Korea
由: Kang, C.
出版: (2011)