Stock markets and real-time macroeconomic data:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Hamburg
Kovač
2007
|
| Series: | Schriftenreihe volkswirtschaftliche Forschungsergebnisse
124 |
| Subjects: | |
| Online Access: | Ausführliche Beschreibung Inhaltsverzeichnis |
| Physical Description: | XXI, 275 S. graph. Darst. 210 mm x 150 mm, 390 gr. |
| ISBN: | 9783830032397 3830032390 |
Staff View
MARC
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| 245 | 1 | 0 | |a Stock markets and real-time macroeconomic data |c Daniel Hartmann |
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| 490 | 1 | |a Schriftenreihe volkswirtschaftliche Forschungsergebnisse |v 124 | |
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| adam_text | Contents
Acknowledgements
............................................................................................
v
Contents
............................................................................................................
vii
List of Figures
....................................................................................................xi
List of Tables
..................................................................................................xiii
List of Symbols
...............................................................................................xvii
1
Introduction
.................................................................................................1
2
Macroeconomic data in real time
..............................................................7
2.1
General remarks on real-time macroeconomic data
.............................10
2.1.1
The nature of data revisions
..........................................................10
2.1.2
The matrix of real-time macroeconomic data
................................11
2.1.3
Publication lags
.............................................................................12
2.2
Real-time macroeconomic data for the United States
..........................13
2.2.1
Description of the U.S. real-time macroeconomic data
.................13
2.2.2
Summary statistics and tests for the U.S. data
...............................18
2.3
Real-time macroeconomic data for the United Kingdom
.....................23
2.3.1
Description of the UK real-time macroeconomic data
..................23
2.3.2
Summary statistics and tests for the UK data
................................27
2.4
Real-time macroeconomic data for Germany
.......................................30
2.4.1
Description of the German real-time macroeconomic data
...........31
2.4.2
Summary statistics and tests for the German data
.........................34
2.5
Summary of the real-time macroeconomic data
...................................38
3
Out-of-saniple predictability of stock returns
..................__.__„__.__39
3.1
Recursive modeling of the out-of-sample predictability of stock returns.
..............................................................................................................43
3.1.1
Recursive modeling and model uncertainty
..................................44
3.1.2
Statistical model-selection criteria
................................................45
3.1.3
Modeling an investor s decision problem
.....................................47
3.1.4
Evaluating the performance of investment strategies
....................48
3.1.5
Tests of market timing
...................................................................49
3.2
Control variables and stock market indices
..........................................51
3.3
Empirical evidence of the out-of-sample predictability of stock returns..
..............................................................................................................56
3.3.1
Inclusion of variables in the forecasting model that best predicts
stock returns
...................................................................................56
3.3.2
Economic measures of the out-of-sample predictability of stock
returns
............................................................................................70
3.3.3
Statistical measures of the out-of-sample predictability of stock
returns
............................................................................................91
3.4
Added value of research in statistics
....................................................98
3.4.1
New statistical model-selection criteria
.........................................98
3.4.2
Empirical results under new statistical model-selection criteria
. 100
3.5
Economic considerations in the selection of forecasting models
.......107
3.5.1
Profit-based criteria for selecting forecasting models
.................108
3.5.2
Empirical results under profit-based criteria
...............................110
3.6
Structural stability of forecasting models
...........................................118
3.6.1
Subsample analysis
......................................................................119
3.6.2
Tests for structural stability
.........................................................122
3.6.3
Considering a rolling window of observations
............................125
3.7
Summary of the out-of-sample predictability of stock returns
...........137
4
Out-of-sample predictability of stock market volatility
......................139
4.1
Recursive modeling and model-selection criteria for forecasting stock
market volatility
..................................................................................143
4.2
Evaluating the forecasts of stock market volatility
.............................145
4.2.1
Criteria based on statistics
...........................................................145
4.2.2
Criterion based on options
...........................................................147
4.2.3
Criterion based on an investor s utility
.......................................149
4.3
Data for forecasting stock market volatility
.......................................152
4.3.1
Real-time macroeconomic data and control variables
.................152
4.3.2
Estimation of stock market volatility
..........................................154
4.4
Results for the variance implied by the GARCH(
1,1)
model as a
measure for stock market volatility
....................................................163
4.4.1
Inclusion
of
variables
in the forecasting model that best predicts
stock market volatility
.................................................................164
4.4.2
Results on the accuracy of forecasts of stock market volatility...
172
4.5
Alternative measures of stock market volatility
.................................188
4.5.1
Options-based indices and absolute and squared stock returns
... 188
4.5.2
Results for the VIX volatility index using the U.S. data
.............191
4.6
Summary of the out-of-sample predictability of stock market volatility..
............................................................................................................198
5
Theoretical asset pricing model
.............................................................201
5.1
Efficient capital markets and the joint-hypothesis problem
...............204
5.2
Theoretical model of the stock return process
....................................206
5.2.1
The representative investor and the representative firm
..............206
5.2.2
The general equilibrium model
...................................................209
5.2.3
Impulse response functions
.........................................................211
5.3
Empirical tests of the asset pricing model
..........................................213
5.3.1
The empirical model
...................................................................213
5.3.2
Additional data
............................................................................217
5.3.3
Deterministic versus stochastic trend in output
...........................218
5.3.4
Results on empirical tests of the asset pricing model
..................221
5.4
Summary of the theoretical asset pricing model
.................................244
6
Conclusion
...............................................................................................247
Bibliography
...................................................................................................251
|
| adam_txt |
Contents
Acknowledgements
.
v
Contents
.
vii
List of Figures
.xi
List of Tables
.xiii
List of Symbols
.xvii
1
Introduction
.1
2
Macroeconomic data in real time
.7
2.1
General remarks on real-time macroeconomic data
.10
2.1.1
The nature of data revisions
.10
2.1.2
The matrix of real-time macroeconomic data
.11
2.1.3
Publication lags
.12
2.2
Real-time macroeconomic data for the United States
.13
2.2.1
Description of the U.S. real-time macroeconomic data
.13
2.2.2
Summary statistics and tests for the U.S. data
.18
2.3
Real-time macroeconomic data for the United Kingdom
.23
2.3.1
Description of the UK real-time macroeconomic data
.23
2.3.2
Summary statistics and tests for the UK data
.27
2.4
Real-time macroeconomic data for Germany
.30
2.4.1
Description of the German real-time macroeconomic data
.31
2.4.2
Summary statistics and tests for the German data
.34
2.5
Summary of the real-time macroeconomic data
.38
3
Out-of-saniple predictability of stock returns
._._„_._39
3.1
Recursive modeling of the out-of-sample predictability of stock returns.
.43
3.1.1
Recursive modeling and model uncertainty
.44
3.1.2
Statistical model-selection criteria
.45
3.1.3
Modeling an investor's decision problem
.47
3.1.4
Evaluating the performance of investment strategies
.48
3.1.5
Tests of market timing
.49
3.2
Control variables and stock market indices
.51
3.3
Empirical evidence of the out-of-sample predictability of stock returns.
.56
3.3.1
Inclusion of variables in the forecasting model that 'best' predicts
stock returns
.56
3.3.2
Economic measures of the out-of-sample predictability of stock
returns
.70
3.3.3
Statistical measures of the out-of-sample predictability of stock
returns
.91
3.4
Added value of research in statistics
.98
3.4.1
New statistical model-selection criteria
.98
3.4.2
Empirical results under new statistical model-selection criteria
. 100
3.5
Economic considerations in the selection of forecasting models
.107
3.5.1
Profit-based criteria for selecting forecasting models
.108
3.5.2
Empirical results under profit-based criteria
.110
3.6
Structural stability of forecasting models
.118
3.6.1
Subsample analysis
.119
3.6.2
Tests for structural stability
.122
3.6.3
Considering a rolling window of observations
.125
3.7
Summary of the out-of-sample predictability of stock returns
.137
4
Out-of-sample predictability of stock market volatility
.139
4.1
Recursive modeling and model-selection criteria for forecasting stock
market volatility
.143
4.2
Evaluating the forecasts of stock market volatility
.145
4.2.1
Criteria based on statistics
.145
4.2.2
Criterion based on options
.147
4.2.3
Criterion based on an investor's utility
.149
4.3
Data for forecasting stock market volatility
.152
4.3.1
Real-time macroeconomic data and control variables
.152
4.3.2
Estimation of stock market volatility
.154
4.4
Results for the variance implied by the GARCH(
1,1)
model as a
measure for stock market volatility
.163
4.4.1
Inclusion
of
variables
in the forecasting model that 'best' predicts
stock market volatility
.164
4.4.2
Results on the accuracy of forecasts of stock market volatility.
172
4.5
Alternative measures of stock market volatility
.188
4.5.1
Options-based indices and absolute and squared stock returns
. 188
4.5.2
Results for the VIX volatility index using the U.S. data
.191
4.6
Summary of the out-of-sample predictability of stock market volatility.
.198
5
Theoretical asset pricing model
.201
5.1
Efficient capital markets and the joint-hypothesis problem
.204
5.2
Theoretical model of the stock return process
.206
5.2.1
The representative investor and the representative firm
.206
5.2.2
The general equilibrium model
.209
5.2.3
Impulse response functions
.211
5.3
Empirical tests of the asset pricing model
.213
5.3.1
The empirical model
.213
5.3.2
Additional data
.217
5.3.3
Deterministic versus stochastic trend in output
.218
5.3.4
Results on empirical tests of the asset pricing model
.221
5.4
Summary of the theoretical asset pricing model
.244
6
Conclusion
.247
Bibliography
.251 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Hartmann, Daniel 1971- |
| author_GND | (DE-588)130510602 |
| author_facet | Hartmann, Daniel 1971- |
| author_role | aut |
| author_sort | Hartmann, Daniel 1971- |
| author_variant | d h dh |
| building | Verbundindex |
| bvnumber | BV022779933 |
| classification_rvk | QK 628 QK 650 |
| ctrlnum | (OCoLC)244013931 (DE-599)DNB985325682 |
| dewey-full | 332.642 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.642 |
| dewey-search | 332.642 |
| dewey-sort | 3332.642 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Thesis Book |
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| index_date | 2024-07-02T18:35:55Z |
| indexdate | 2024-07-09T21:05:59Z |
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| isbn | 9783830032397 3830032390 |
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| physical | XXI, 275 S. graph. Darst. 210 mm x 150 mm, 390 gr. |
| publishDate | 2007 |
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| publisher | Kovač |
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| series | Schriftenreihe volkswirtschaftliche Forschungsergebnisse |
| series2 | Schriftenreihe volkswirtschaftliche Forschungsergebnisse |
| spelling | Hartmann, Daniel 1971- Verfasser (DE-588)130510602 aut Stock markets and real-time macroeconomic data Daniel Hartmann Hamburg Kovač 2007 XXI, 275 S. graph. Darst. 210 mm x 150 mm, 390 gr. txt rdacontent n rdamedia nc rdacarrier Schriftenreihe volkswirtschaftliche Forschungsergebnisse 124 Zugl.: Saarbrücken, Univ, Diss., 2007 Aktienbörse (DE-588)4068500-7 gnd rswk-swf Echtzeitverarbeitung (DE-588)4151002-1 gnd rswk-swf Volkswirtschaftliche Gesamtrechnung (DE-588)4063886-8 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Aktienbörse (DE-588)4068500-7 s Volkswirtschaftliche Gesamtrechnung (DE-588)4063886-8 s Statistik (DE-588)4056995-0 s Echtzeitverarbeitung (DE-588)4151002-1 s DE-604 Schriftenreihe volkswirtschaftliche Forschungsergebnisse 124 (DE-604)BV011622667 124 text/html http://www.verlagdrkovac.de/978-3-8300-3239-7.htm Ausführliche Beschreibung Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015985454&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hartmann, Daniel 1971- Stock markets and real-time macroeconomic data Schriftenreihe volkswirtschaftliche Forschungsergebnisse Aktienbörse (DE-588)4068500-7 gnd Echtzeitverarbeitung (DE-588)4151002-1 gnd Volkswirtschaftliche Gesamtrechnung (DE-588)4063886-8 gnd Statistik (DE-588)4056995-0 gnd |
| subject_GND | (DE-588)4068500-7 (DE-588)4151002-1 (DE-588)4063886-8 (DE-588)4056995-0 (DE-588)4113937-9 |
| title | Stock markets and real-time macroeconomic data |
| title_auth | Stock markets and real-time macroeconomic data |
| title_exact_search | Stock markets and real-time macroeconomic data |
| title_exact_search_txtP | Stock markets and real-time macroeconomic data |
| title_full | Stock markets and real-time macroeconomic data Daniel Hartmann |
| title_fullStr | Stock markets and real-time macroeconomic data Daniel Hartmann |
| title_full_unstemmed | Stock markets and real-time macroeconomic data Daniel Hartmann |
| title_short | Stock markets and real-time macroeconomic data |
| title_sort | stock markets and real time macroeconomic data |
| topic | Aktienbörse (DE-588)4068500-7 gnd Echtzeitverarbeitung (DE-588)4151002-1 gnd Volkswirtschaftliche Gesamtrechnung (DE-588)4063886-8 gnd Statistik (DE-588)4056995-0 gnd |
| topic_facet | Aktienbörse Echtzeitverarbeitung Volkswirtschaftliche Gesamtrechnung Statistik Hochschulschrift |
| url | http://www.verlagdrkovac.de/978-3-8300-3239-7.htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015985454&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV011622667 |
| work_keys_str_mv | AT hartmanndaniel stockmarketsandrealtimemacroeconomicdata |