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Econometric Modeling: Forecasting eJournal

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Viewing: 1 - 50 of 1,585 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
AQR Capital Management, LLC
Downloads 6,791
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
Fidante Partners
Downloads 5,943
3.

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 Peloponnese - School of Management, Economics and Informatics
Downloads 3,949
4.

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 3,656
5.

Kinetic Component Analysis

Number of pages: 24 Posted: 08 Apr 2014 Last Revised: 08 Aug 2016
Working Paper Series
AQR Capital Management, LLC and University of Oxford - Mathematical Institute
Downloads 3,366
6.

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 and University of California, San Diego
Downloads 2,883
7.

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 2,479
8.

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 2,459
9.

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 Unigestion SA

Multiple version iconThere are 3 versions of this paper

Downloads 2,185
10.

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 1,888
11.

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 1,824
12.

Ten Financial Applications of Machine Learning

Number of pages: 20 Posted: 18 Jun 2018 Last Revised: 12 Oct 2018
Working Paper Series
AQR Capital Management, LLC
Downloads 1,570
13.

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 1,387
14.

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 1,345
15.

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 University of Kansas - Finance Area
Downloads 1,204
16.

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 1,123
17.

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 1,041
18.

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 901
19.

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: 26 Jun 2017
Working Paper Series
Stanford University - Department of Economics and University of Chicago - Department of Economics
Downloads 860
20.

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 852
21.

Intra-Day Momentum

Number of pages: 53 Posted: 27 Jan 2017 Last Revised: 08 Feb 2017
Working Paper Series
Imperial College London
Downloads 840
22.

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

Number of pages: 28 Posted: 01 Aug 2018 Last Revised: 07 Nov 2018
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 838
23.

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 830
24.

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 830
25.

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 828
26.

Return Dispersion and the Predictability of Stock Returns

Number of pages: 48 Posted: 17 Jan 2012 Last Revised: 28 Aug 2013
Working Paper Series
Hanken School of Economics - Department of Finance and Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 814
27.

Illusions in Regression Analysis

Number of pages: 10 Posted: 12 Dec 2011
Working Paper Series
University of Pennsylvania - Marketing Department
Downloads 806
28.

Predictability of Currency Carry Trades and Asset Pricing Implications

Number of pages: 54 Posted: 30 Dec 2011
Working Paper Series
Fox School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 737
29.

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 736
30.

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
Lawrence Berkeley National Laboratory (Berkeley Lab), AQR Capital Management, LLC, Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 734
31.

Financial Quantum Computing (Presentation Slides)

Number of pages: 22 Posted: 07 Oct 2016 Last Revised: 16 Jul 2018
Working Paper Series
AQR Capital Management, LLC
Downloads 730
32.

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 640
33.

Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective

Number of pages: 48 Posted: 19 May 2011 Last Revised: 05 Apr 2013
Working Paper Series
City University London - Sir John Cass Business School and Goethe University Frankfurt - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 630
34.

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 625
35.

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 593
36.

Recession Prediction Using Yield Curve and Stock Market Liquidity Deviation Measures

The Review of Finance, Volume 19, Number 1, March 2015
Number of pages: 21 Posted: 18 Apr 2013 Last Revised: 18 Dec 2016
Accepted Paper Series
Piri Reis University, Fordham University Business School and Istanbul Bilgi University
Downloads 591
37.

Cross-Sectional Return Dispersion and the Equity Premium

Journal of Financial Markets, Forthcoming
Number of pages: 42 Posted: 14 Mar 2012 Last Revised: 07 Sep 2015
Accepted Paper Series
Hanken School of Economics - Department of Finance and Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 589
38.

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 582
39.

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 565
40.

Non-Parametric Prediction of the Mid-Price Dynamics in a Limit Order Book

Number of pages: 14 Posted: 14 Mar 2012 Last Revised: 17 Jan 2013
Working Paper Series
Purdue University - School of Electrical and Computer Engineering and Purdue University
Downloads 550
41.

Forecasting Macroeconomic Time Series: LASSO-Based Approaches and Their Forecast Combinations with Dynamic Factor Models

Number of pages: 43 Posted: 19 Mar 2014
Working Paper Series
University of Notre Dame and University of Notre Dame
Downloads 536
42.

The Illusion of Predictability: How Regression Statistics Mislead Experts

International Journal of Forecasting, Forthcoming
Number of pages: 39 Posted: 01 Feb 2012
Accepted Paper Series
Universitat Pompeu Fabra and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 527
43.

Asset Allocation Strategies, Data Snooping, and the 1/N Rule

Number of pages: 43 Posted: 23 Dec 2016 Last Revised: 06 Oct 2018
Working Paper Series
University of Hong Kong, Hefei University of Technology, Hefei University of Technology and Shanghai University of Finance and Economics
Downloads 523
44.

Forecasting the Price of Oil

Number of pages: 123 Posted: 20 Sep 2011
Working Paper Series
AQR Capital Management LLC, University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies

Multiple version iconThere are 2 versions of this paper

Downloads 523
45.

Taking the Pulse of the Real Economy Using Financial Statement Analysis: Implications for Macro Forecasting and Stock Valuation

The Accounting Review, March 2014
Number of pages: 45 Posted: 11 Dec 2013 Last Revised: 11 Apr 2014
Accepted Paper Series
University of California, Berkeley - Haas School of Business and University of California, Berkeley - Haas School of Business
Downloads 515
46.

Sufficient Forecasting Using Factor Models

Number of pages: 32 Posted: 20 May 2015
Working Paper Series
Princeton University - Bendheim Center for Finance, Pennsylvania State University - Department of Statistics and Princeton University
Downloads 512
47.

Forecasting Risk in Earnings

Contemporary Accounting Research, Forthcoming
Number of pages: 58 Posted: 02 Aug 2011 Last Revised: 16 Jun 2015
Accepted Paper Series
City University London - Sir John Cass Business School and Bocconi University
Downloads 508
48.

Now-Casting and the Real-time Data Flow

ECB Working Paper No. 1564
Number of pages: 55 Posted: 12 Aug 2013
Working Paper Series
European Central Bank, Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and London Business School

Multiple version iconThere are 2 versions of this paper

Downloads 500
49.

Using Global VAR Models for Scenario-Based Forecasting and Policy Analysis

The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis (F. di Mauro and M.H. Pesaran eds.), Forthcoming.
Number of pages: 14 Posted: 23 Mar 2012 Last Revised: 14 Jul 2012
Working Paper Series
University of Melbourne, Melbourne Institute of Applied Economic and Social Research and Independent
Downloads 489
50.

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 487