| bibtype |
J -
Journal Article
|
| ARLID |
0504930 |
| utime |
20240103222048.8 |
| mtime |
20190528235959.9 |
| SCOPUS |
85062917077 |
| WOS |
000474317500001 |
| DOI |
10.1016/j.ijforecast.2019.01.005 |
| title
(primary) (eng) |
Forecasting dynamic return distributions based on ordered binary choice |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0251006 |
| ISSN |
0169-2070 |
| title
|
International Journal of Forecasting |
| volume_id |
35 |
| volume |
3 (2019) |
| page_num |
823-835 |
| publisher |
|
|
| keyword |
asset returns |
| keyword |
predictive distribution |
| keyword |
conditional probability |
| author
(primary) |
| ARLID |
cav_un_auth*0338770 |
| name1 |
Anatolyev |
| name2 |
Stanislav |
| institution |
NHU-N |
| full_dept |
Economics Institute |
| fullinstit |
Národohospodářský ústav AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0350251 |
| project_id |
GA16-14179S |
| agency |
GA ČR |
| country |
CZ |
|
| abstract
(eng) |
We present a simple approach to the forecasting of conditional probability distributions of asset returns. We work with a parsimonious specification of ordered binary choice regressions that imposes a connection on sign predictability across different quantiles. The model forecasts the future conditional probability distributions of returns quite precisely when using a past indicator and a past volatility proxy as predictors. The direct benefits of the model are revealed in an empirical application to the 29 most liquid U.S. stocks. The forecast probability distribution is translated to significant economic gains in a simple trading strategy. Our approach can also be useful in many other applications in which conditional distribution forecasts are desired. |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2020 |
| mrcbC52 |
4 A sml hod 4as 4ah 20231122144023.3 |
| inst_support |
RVO:67985998 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0296463 |
| mrcbC64 |
1 Department of Econometrics UTIA-B 50202 ECONOMICS |
| confidential |
S |
| mrcbC86 |
3+4 Article Economics|Management |
| mrcbC91 |
C |
| mrcbT16-e |
ECONOMICS|MANAGEMENT |
| mrcbT16-j |
1.443 |
| mrcbT16-s |
1.753 |
| mrcbT16-B |
77.99 |
| mrcbT16-D |
Q1 |
| mrcbT16-E |
Q1 |
| arlyear |
2019 |
| mrcbTft |
\nSoubory v repozitáři: affirmation_license agreement_0504930.pdf, anatolyev_IJoF_2019.pdf |
| mrcbU14 |
85062917077 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000474317500001 WOS |
| mrcbU63 |
cav_un_epca*0251006 International Journal of Forecasting 0169-2070 1872-8200 Roč. 35 č. 3 2019 823 835 Elsevier |
|