Iterated Combination Forecast and Treasury Bond Predictability

2018 ◽  
Author(s):  
Hai Lin ◽  
Wen-Rang Liu ◽  
Chunchi Wu ◽  
Guofu Zhou
Keyword(s):  
Combination Forecast ◽  
Treasury Bond

The Equity Volatility-Volume Ratio and Treasury Bond Returns

2019 ◽  
Author(s):  
Stefanie Schraeder ◽  
Elvira Sojli ◽  
Avanidhar Subrahmanyam ◽  
Wing Wah Tham
Keyword(s):  
Volume Ratio ◽  
Bond Returns ◽  
Treasury Bond

Modeling CO2 Emissions of Top 5 Emitters with Combination Technique

2012 ◽  
Vol 616-618 ◽  
pp. 1143-1147
Author(s):  
Wei Sun ◽  
Jing Min Wang ◽  
Jun Jie Kang
Keyword(s):  
Forecast Error ◽  
Combination Method ◽  
Future Projection ◽  
Forecasting Accuracy ◽  
Combination Technique ◽  
Combination Forecast ◽  
Forecast Models ◽  
Model Time Series ◽  
Grey Verhulst Model ◽  
Better Than

In this paper, the performance of combination forecast methods for CO2 emissions prediction is investigated. Linear model, time series model, GM (1, 1) model and Grey Verhulst model are selected in study as the separate models. And, four kinds of combination forecast models, i.e. the equivalent weight (EW) combination method, variance-covariance (VACO) combination method, regression combination (R) method, and discounted mean square forecast error (MSFE) method are chosen to employ for top 5 CO2 emitters. The forecasting accuracy is compared between these combination models and single models. This research suggests that the combination forecasts are almost certain to outperform the worst individual forecasts and maybe even better than most individual ones. Furthermore the combination forecasts can avoid the risk of model choosing in future projection. For CO2 emissions forecast with many uncertain factors in the future, combining the single forecast would be safer in such forecasting situations.

Multifactor and analytical valuation of treasury bond futures with an embedded quality option

2007 ◽  
Vol 27 (3) ◽  
pp. 275-303 ◽  
Author(s):  
João Pedro Vidal Nunes ◽  
Luís Alberto Ferreira De Oliveira
Keyword(s):  
Treasury Bond ◽  
Bond Futures

Investment in New Proved Oil Reserves: An Austrian Perspective

2017 ◽  
Vol 12 (s1) ◽  
Author(s):  
Bradley T. Ewing ◽  
Mark Thornton ◽  
Mark Yanochik
Keyword(s):  
Time Series ◽  
Interest Rates ◽  
Financial Time Series ◽  
Commodity Prices ◽  
Asset Markets ◽  
Oil Reserves ◽  
Econometric Methods ◽  
Low Interest Rates ◽  
Treasury Bond ◽  
Exploration And Production

AbstractExploration and production (E&P) companies must replace oil produced with new proved reserves in order to sustain their existence, generate future revenues and value. Extensions constitute the largest type of additions to new proved reserves. Adding reserves through extensions is capital intensive and both the real price of oil (represented by real refiner acquisition cost) and real interest (represented by real yield on 10 year Treasury bond) will influence the investment in new discoveries of proved reserves. However, recent periods of unusually high commodity prices and ultra-low interest rates, often linked to monetary policy, may have led to an over-investment in reserves through extensions. Accordingly, using U.S. data (1977–2014) we test for the existence of “explosive behavior” in the volume of extensions over time with financial time series econometric methods referred to as right-tail ADF tests which have traditionally been used for identifying speculative bubbles in asset markets. Empirical evidence identifies a period of explosive (“bubble-like”) behavior in the time series of extensions having occurred beginning 2010 through 2014. This research provides an Austrian explanation for the empirical results consistent with the notion of malinvestment.

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