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Econometric Modeling: Forecasting eJournal

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Viewing: 1 - 50 of 1,923 papers

1.

Advances in Financial Machine Learning (Chapter 1)

Advances in Financial Machine Learning, Wiley, 1st Edition (2018); ISBN: 978-1-119-48208-6
Number of pages: 61 Posted: 19 Jan 2018
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 11,708
2.

Does the Shiller-PE Work in Emerging Markets?

Number of pages: 41 Posted: 21 Jun 2012 Last Revised: 22 Jul 2012
Working Paper Series
Liberum Capital
Downloads 6,434
3.

Ten Financial Applications of Machine Learning (Seminar Slides)

Number of pages: 27 Posted: 18 Jun 2018 Last Revised: 27 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 5,719
4.

Kinetic Component Analysis

Journal of Investing, Vol. 25, No. 3, 2016
Number of pages: 24 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and University of Oxford - Mathematical Institute
Downloads 4,961
5.

Technological Innovation, Resource Allocation and Growth

Quarterly Journal of Economics, Forthcoming
Number of pages: 78 Posted: 22 Dec 2012 Last Revised: 02 Mar 2018
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Northwestern University - Kellogg School of Management - Department of Finance, Stanford University and Indiana University - Kelley School of Business - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 4,659
6.

An Improved Moving Average Technical Trading Rule

Quantf Research Working Paper Series No. WP01/2014
Number of pages: 32 Posted: 13 Sep 2011 Last Revised: 02 Jun 2014
Working Paper Series
Quantf Research and University of Athens, Department of Business Administration
Downloads 4,387
7.

Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)

Number of pages: 29 Posted: 01 Aug 2018 Last Revised: 02 Jan 2019
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 4,197
8.

Machine Learning for Asset Managers (Chapter 1)

Cambridge Elements, 2020
Number of pages: 45 Posted: 27 Apr 2020
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 3,649
9.

A Boosting Approach for Automated Trading

Journal of Trading, Vol. 2, No. 3, pp. 84-96.
Number of pages: 10 Posted: 17 Oct 2006 Last Revised: 20 Feb 2013
Accepted Paper Series
Stevens Institute of Technology, School of Business and University of California, San Diego
Downloads 3,113
10.

Codependence (Presentation Slides)

Number of pages: 34 Posted: 15 Jan 2020 Last Revised: 06 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 3,108
11.

Advances in Financial Machine Learning: Lecture 9/10 (seminar slides)

Number of pages: 41 Posted: 29 Oct 2018 Last Revised: 29 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 3,083
12.

Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions?

Swiss Finance Institute Research Paper No. 11-45
Number of pages: 26 Posted: 10 Oct 2011 Last Revised: 18 Oct 2011
Working Paper Series
University of Munich and University of Zurich - Department of Banking and Finance
Downloads 2,979
13.

The Case of Gold and Silver: A New Algorithm for Pairs Trading

Number of pages: 7 Posted: 10 Apr 2013 Last Revised: 10 Apr 2013
Working Paper Series
B.K.School of Business Management, Gujarat University, Shri Chimanbhai Patel Institute of Management & Research and Shri Chimanbhai Patel Institute of Management & Research
Downloads 2,735
14.

Distilling the Macroeconomic News Flow

Number of pages: 48 Posted: 20 Feb 2013 Last Revised: 21 Mar 2014
Working Paper Series
Cass Business School, Duke University - Fuqua School of Business and Square Macro

Multiple version iconThere are 3 versions of this paper

Downloads 2,666
15.

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-49
Number of pages: 63 Posted: 26 Oct 2012 Last Revised: 10 Feb 2015
Working Paper Series
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department

Multiple version iconThere are 2 versions of this paper

Downloads 2,626
16.

Automated Earnings Forecasts: Beat Analysts or Combine and Conquer?

Management Science, Forthcoming
Number of pages: 52 Posted: 23 May 2017
Accepted Paper Series
The Stephen M. Ross School of Business at the University of Michigan and University of North Carolina Kenan-Flagler Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,607
17.

The Structure of Economic News

Number of pages: 54 Posted: 07 Sep 2019 Last Revised: 10 Jun 2020
Working Paper Series
Yale School of Management, Yale SOM, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,385
18.

Predicting Local Violence

Number of pages: 81 Posted: 29 Sep 2014 Last Revised: 22 Jun 2017
Working Paper Series
Brown University, University of Chicago, Harris School of Public Policy and University College of London
Downloads 2,018
19.

Predicting Bond Returns: 70 Years of International Evidence

Financial Analysts Journal, Forthcoming
Number of pages: 40 Posted: 24 Jun 2020 Last Revised: 22 Mar 2021
Accepted Paper Series
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam and Robeco Asset Management
Downloads 1,713
20.

The Trend in Firm Profitability and the Cross Section of Stock Returns

The Accounting Review, 2017
Number of pages: 91 Posted: 17 Dec 2014 Last Revised: 31 Jan 2018
Accepted Paper Series
University of Illinois at Chicago, University of South Carolina - Department of Finance and Iowa State University - Finance Department
Downloads 1,559
21.

Forecasting with Option-Implied Information

Handbook of Economic Forecasting, Volume 2, G. Elliott and A. Timmermann (eds.)
Number of pages: 72 Posted: 08 Dec 2011 Last Revised: 11 Jul 2012
Working Paper Series
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and Bank of Canada
Downloads 1,540
22.

An Accounting-Based Characteristic Model for Asset Pricing

Number of pages: 64 Posted: 30 Nov 2011 Last Revised: 10 Nov 2015
Working Paper Series
Columbia Business School - Department of Accounting, University of Zurich, AQR Capital Management, LLC and London Business School
Downloads 1,520
23.

Cross-Sectional Return Dispersion and the Equity Premium

Journal of Financial Markets, Forthcoming
Number of pages: 42 Posted: 17 Jan 2012 Last Revised: 13 Apr 2019
Accepted Paper Series
Hanken School of Economics - Department of Finance and Statistics
Downloads 1,511
24.

Crude Oil Price Forecasting Techniques: A Comprehensive Review of Literature

Number of pages: 32 Posted: 07 Jun 2013
Working Paper Series
University of Beira Interior - Department of Management and Economics and University of Beira Interior - Department of Management and Economics
Downloads 1,434
25.

Forecasting Real Estate Prices

Handbook of Economic Forecasting: Vol II, G. Elliott and A. Timmermann, eds., Elsevier, 2012
Number of pages: 91 Posted: 21 Apr 2013
Accepted Paper Series
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,377
26.

Mid-Price Prediction in a Limit Order Book

Number of pages: 9 Posted: 02 Jan 2015
Working Paper Series
Purdue University - School of Electrical and Computer Engineering and Purdue University
Downloads 1,374
27.

Financial Quantum Computing (Presentation Slides)

Number of pages: 22 Posted: 07 Oct 2016 Last Revised: 16 Jul 2018
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,276
28.

Illusions in Regression Analysis

Number of pages: 10 Posted: 12 Dec 2011
Working Paper Series
University of Pennsylvania - Marketing Department
Downloads 1,250
29.

Intra-Day Momentum

Number of pages: 53 Posted: 27 Jan 2017 Last Revised: 08 Feb 2017
Working Paper Series
Imperial College London
Downloads 1,170
30.

Predictability of the Simple Technical Trading Rules: An Out-of-Sample Test

Number of pages: 29 Posted: 25 May 2012 Last Revised: 14 Jun 2012
Working Paper Series
Massey University - School of Economics and Finance, Tilburg University - TIAS School for Business and Society and Massey University
Downloads 1,103
31.

The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment

Journal of Statistical Software, Forthcoming
Number of pages: 40 Posted: 11 Nov 2017 Last Revised: 23 May 2020
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Vrije Universiteit Brussel and Ghent University
Downloads 1,099
32.

Forecasting Government Bond Risk Premia Using Technical Indicators

25th Australasian Finance and Banking Conference 2012, Asian Finance Association (AsFA) 2013 Conference
Number of pages: 50 Posted: 22 Aug 2011 Last Revised: 13 Nov 2013
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,093
33.

Exploring Irregular Time Series Through Non-Uniform Fast Fourier Transform

Proceedings of the International Conference for High Performance Computating, IEEE, 2014.
Number of pages: 26 Posted: 30 Aug 2014 Last Revised: 05 Mar 2016
Accepted Paper Series
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,036
34.

Forecasting Exchange Rates: An Investor Perspective

CESifo Working Paper Series No. 4238
Number of pages: 40 Posted: 22 May 2013
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management, BlackRock, Inc and BlackRock, Inc
Downloads 992
35.

A Forest Fire Theory of the Duration of a Boom and the Size of a Subsequent Bust

Number of pages: 50 Posted: 08 Jul 2013 Last Revised: 28 Feb 2019
Working Paper Series
Stanford University - Department of Economics and University of Chicago - Department of Economics
Downloads 980
36.

The Effect of Organizational Complexity on Earnings Forecasting Behavior

AAA 2013 Management Accounting Section (MAS) Meeting Paper
Number of pages: 45 Posted: 15 Aug 2012 Last Revised: 18 Feb 2019
Working Paper Series
Washington University in St. Louis, Purdue University and Washington and Lee University
Downloads 969
37.

Type I and Type II Errors in Finance (Presentation Slides)

Number of pages: 21 Posted: 25 Jun 2018 Last Revised: 14 Jun 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 954
38.

Lazy Momentum with Growth-Trend timing: Resilient Asset Allocation (RAA)

Number of pages: 9 Posted: 11 Jan 2021 Last Revised: 10 Mar 2021
Working Paper Series
VU University Amsterdam
Downloads 935
39.

Macroeconomic Indicator Forecasting with Deep Neural Networks

Federal Reserve Bank of Kansas City Working Paper No. 17-11
Number of pages: 39 Posted: 03 Oct 2017
Working Paper Series
Federal Reserve Bank of Kansas City and Federal Reserve Bank of Kansas City
Downloads 915
40.

The Predictive Content of the Interest Rate Term Spread for Future Economic Growth

FRB Richmond Economic Quarterly, vol. 84, no. 3, Summer 1998, pp. 31-51
Number of pages: 21 Posted: 21 Nov 2012
Accepted Paper Series
Federal Reserve Bank of Philadelphia
Downloads 896
41.

Forecasting the FTSE 100 with High-Frequency Data: A Comparison of Realized Measures

Number of pages: 25 Posted: 27 Sep 2011
Working Paper Series
Imperial College London
Downloads 895
42.

Signaling Asset Price Bubbles with Time-Series Methods

Bank of Finland Research Discussion Paper No. 7/2012
Number of pages: 50 Posted: 11 Feb 2012
Working Paper Series
Bank of Finland - Financial Stability and Statistics
Downloads 890
43.

Measuring Relative Accuracy: A Better Alternative to Mean Absolute Percentage Error

Hertfordshire Business School Working Paper (2013)
Number of pages: 24 Posted: 07 Nov 2013
Working Paper Series
University of Hertfordshire Business School
Downloads 862
44.

Economic Forecasting with an Agent-Based Model

Number of pages: 49 Posted: 18 Nov 2019 Last Revised: 06 Nov 2020
Working Paper Series
International Institute for Applied Systems Analysis (IIASA), Vienna University of Economics and Business and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 834
45.

Predictability of Currency Carry Trades and Asset Pricing Implications

Number of pages: 54 Posted: 30 Dec 2011
Working Paper Series
Temple University - Fox School of Business and Management and Hong Kong University of Science & Technology (HKUST)
Downloads 828
46.

Using a Leading Credit Index to Predict Turning Points in the U.S. Business Cycle

The Conference Board Economics Program Working Paper No. 11-05
Number of pages: 42 Posted: 05 Jan 2012
Working Paper Series
affiliation not provided to SSRN, The Conference Board, The Conference Board, affiliation not provided to SSRN and The Conference Board
Downloads 805
47.

Fundamental Exchange Rate Forecasting Models: Advantages and Drawbacks

Number of pages: 9 Posted: 24 Jul 2015
Working Paper Series
Mykolas Romeris University and Mykolas Romeris University
Downloads 763
48.

Internet Search Behavior as an Economic Forecasting Tool: The Case of Inflation Expectations

The Journal of Economic and Social Measurement, Vol. 36, No. 3, December 2011
Number of pages: 38 Posted: 14 Feb 2012 Last Revised: 31 Oct 2012
Accepted Paper Series
Economic Alchemy LLC
Downloads 758
49.

Machine Learning for Realised Volatility Forecasting

Number of pages: 51 Posted: 12 Oct 2020 Last Revised: 21 Jun 2021
Working Paper Series
University of Manchester - Alliance Manchester Business School and Alliance Manchester Business School, University of Manchester
Downloads 754
50.

Divide and Conquer: Financial Ratios and Industry Returns Predictability

Number of pages: 70 Posted: 08 Mar 2018 Last Revised: 10 May 2021
Working Paper Series
School of Economics and Finance, Queen Mary University of London and Temple University, Fox School of Business
Downloads 741