| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1111/boer.12094 |
| Forecasting Global Equity Indices using Large Bayesian VARs. | |
| Huber F; Krisztin T; Piribauer P | |
| 发表日期 | 2017 |
| 出处 | Bulletin of Economic Research 69 (3): 288-308 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | This paper proposes a large Bayesian Vector Autoregressive (BVAR) model with common stochastic volatility to forecast global equity indices. Using a monthly dataset on global stock indices, the BVAR model controls for co-movement commonly observed in global stock markets. Moreover, the time-varying specification of the covariance structure accounts for sudden shifts in the level of volatility. In an out-of-sample forecasting application we show that the BVAR model with stochastic volatility significantly outperforms the random walk both in terms of point as well as density predictions. The BVAR model without stochastic volatility, on the other hand, shows some merits relative to the random walk for forecast horizons greater than six months ahead. In a portfolio allocation exercise we moreover provide evidence that it is possible to use the forecasts obtained from our model with common stochastic volatility to set up simple investment strategies. Our results indicate that these simple investment schemes outperform a naive buy-and-hold strategy. |
| 主题 | Ecosystems Services and Management (ESM) |
| 关键词 | BVAR equity indices forecasting log-scores stochastic volatility C11 C22 C53 E17 G11 |
| URL | http://pure.iiasa.ac.at/id/eprint/13713/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/130903 |
| 推荐引用方式 GB/T 7714 | Huber F,Krisztin T,Piribauer P. Forecasting Global Equity Indices using Large Bayesian VARs.. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| FORECASTING%20GLOBAL（318KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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