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AbstractSavin et al. [Savin, G., P. Weller, and J. Zvingelis. 2007. “The Predictive Power of “Head-and-Shoulders” Price Patterns in the US Stock Market.” Journal of Financial Econometrics 5: 243–265.] and Lo et al. [Lo, A. W., H. Mamaysky, and J. Wang. 2000. “Foundations of Technical Analysis:...
AbstractWe consider the determinants of the 2008 crisis and address two main forms of model uncertainty: the uncertainty in selecting theoretical groups and the uncertainty in selecting explanatory variables. We introduce Bayesian hierarchical formulation that allows for the joint treatment of...
AbstractPrediction bands for time series are usually generated point-wise by bootstrap methods. Such bands only convey the prediction uncertainty for each horizon separately. The joint distribution is not taken into account. To represent the forecast uncertainty over the entire horizon, methods...
AbstractThis paper analyzes pass-through from money market rates to consumer retail loan and deposit rates in Canada from 1983 to 2015 using a nonlinear vector error-correction model. This model permits estimation of long-run pass-through coefficients while simultaneously accounting for...
AbstractEarlier studies in the finance literature show that macroeconomic fundamentals can predict excess bond returns. We employ a multi-level factor model to estimate global and sectoral factors separately and show that (i) the real factors possess most important predictive power existing in...
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