## Abstract Data are now readily available for a very large number of macroeconomic variables that are potentially useful when forecasting. We argue that recent developments in the theory of dynamic factor models enable such large data sets to be summarized by relatively few estimated factors, whic
Evaluating factor forecasts for the UK: The role of asset prices
โ Scribed by Fadi Zaher
- Book ID
- 113647919
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 283 KB
- Volume
- 23
- Category
- Article
- ISSN
- 0169-2070
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Using daily settlement prices for a range of real and ยฎnancial futures over the period 6 April 1981ยฑ31 October 1995, this paper considers the extent to which, ex post, asset prices depart from random behaviour and investigates the efยฎciency of the markets within which the prices of the assets are de
The consumption based capital asset pricing model is evaluated using bounds and 68 years of annual UK data. In contrast to the standard statistical methodology, the Hansen -Jagannathan methodology is fully non-parametric and based on only one principle from economic theory, namely the Law of One Pr