Intrinsic bubbles revisited: evidence from nonlinear cointegration and forecasting
Article Abstract:
Froot and Obstfeld developed the intrinsic bubble model of stock prices. The study shows the nonlinear link between stock prices and dividends for the U.S. stock market data from 1871 to 1996. It also establishes the superiority of the intrinsic bubbles model over random walk and the rational bubbles models.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2004
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Forecasting treasury's balance at the Fed
Article Abstract:
The Board of Governors at Federal Reserve Bank of New York as a daily operating procedure forecast the daily Treasury balance. The paper evaluates the accuracy of the above forecasts.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2004
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Non-linear forecasts of stock returns
Article Abstract:
The value of the Markov regime switching model to predict US stock returns is discussed.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2003
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