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Benchmark Models (benchmark + models)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting83%

Selected Abstracts

Forecasting realized volatility: a Bayesian model-averaging approach

JOURNAL OF APPLIED ECONOMETRICS, Issue 5 2009
Chun Liu
How to measure and model volatility is an important issue in finance. Recent research uses high-frequency intraday data to construct ex post measures of daily volatility. This paper uses a Bayesian model-averaging approach to forecast realized volatility. Candidate models include autoregressive and heterogeneous autoregressive specifications based on the logarithm of realized volatility, realized power variation, realized bipower variation, a jump and an asymmetric term. Applied to equity and exchange rate volatility over several forecast horizons, Bayesian model averaging provides very competitive density forecasts and modest improvements in point forecasts compared to benchmark models. We discuss the reasons for this, including the importance of using realized power variation as a predictor. Bayesian model averaging provides further improvements to density forecasts when we move away from linear models and average over specifications that allow for GARCH effects in the innovations to log-volatility. Copyright © 2009 John Wiley & Sons, Ltd. [source]

Glamour Acquirers, Method of Payment and Post-acquisition Performance: The UK Evidence

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 1-2 2003
Sudi Sudarsanam
We study the effect of different acquirer types, defined by financial status and their payment methods, on their short and long-term performance, in terms of abnormal returns using a variety of benchmark models. For a sample of 519 UK acquirers during 1983,95, we examine the abnormal return performance of acquirers based on their pre-bid financial status as either glamour or value acquirers using both the price to earnings (PE) ratio and market to book value ratio (MTBV). Value acquirers outperform glamour acquirers in the three-year post-acquisition period. One interpretation is that glamour firms have overvalued equity and tend to exploit their status and use it more often than cash to finance their acquisitions. As we move from glamour to value acquirers, there is a greater use of cash. Our results are broadly consistent with those for the US reported by Rau and Vermaelen (1998). However, in contrast to their study, we find stronger support for the method of payment hypothesis than for extrapolation hypothesis. Cash acquirers generate higher returns than equity acquirers, irrespective of their glamour/ value status. Our conclusions, based on four benchmark models for abnormal returns, suggest that stock markets in both the US and the UK may share a similar proclivity for over-extrapolation of past performance, at least in the bid period. They also tend to reassess acquirer performance in the post-acquisition period and correct this overextrapolation. These results have implications for the behavioural aspects of capital markets in both countries. [source]

Forecasting key macroeconomic variables from a large number of predictors: a state space approach

JOURNAL OF FORECASTING, Issue 4 2010
Arvid Raknerud
Abstract We use state space methods to estimate a large dynamic factor model for the Norwegian economy involving 93 variables for 1978Q2,2005Q4. The model is used to obtain forecasts for 22 key variables that can be derived from the original variables by aggregation. To investigate the potential gain in using such a large information set, we compare the forecasting properties of the dynamic factor model with those of univariate benchmark models. We find that there is an overall gain in using the dynamic factor model, but that the gain is notable only for a few of the key variables. Copyright © 2009 John Wiley & Sons, Ltd. [source]

Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk

THE JOURNAL OF FINANCE, Issue 6 2008
TOBIAS ADRIAN
ABSTRACT We explore the cross-sectional pricing of volatility risk by decomposing equity market volatility into short- and long-run components. Our finding that prices of risk are negative and significant for both volatility components implies that investors pay for insurance against increases in volatility, even if those increases have little persistence. The short-run component captures market skewness risk, which we interpret as a measure of the tightness of financial constraints. The long-run component relates to business cycle risk. Furthermore, a three-factor pricing model with the market return and the two volatility components compares favorably to benchmark models. [source]

Motif Reconstruction in Clusters and Layers: Benchmarks for the Kawska,Zahn Approach to Model Crystal Formation

CHEMPHYSCHEM, Issue 4 2010
Theodor Milek
Abstract A recently developed atomistic simulation scheme for investigating ion aggregation from solution is transferred to the morphogenesis of metal clusters grown from the vapor and layers deposited on a substrate surface. Both systems are chosen as benchmark models for intense motif reorganization during aggregate/layer growth. The applied simulation method does not necessarily involve global energy minimization after each growth event, but instead describes crystal growth as a series of structurally related configurations which may also include local energy minima. Apart from the particularly favorable high-symmetry configurations known from experiments and global energy minimization, we also demonstrate the investigation of transient structures. In the spirit of Ostwald's step rule, a continuous evolution of the aggregate/layer structure during crystal growth is observed. [source]