CEU Electronic Theses and Dissertations, 2014
| Author | Dyachenko, Artem |
|---|---|
| Title | Sequential Bayesian Learning in the Present Value Model |
| Summary | In this thesis, I re-estimate the present value model with hidden variables of Binsbergen and Koijen (2010) using the sequential Monte Carlo algorithm instead of the maximum likelihood procedure. The latent variables are expected returns and expected dividend growth. First, I show that in-sample forecasts are more optimistic than real-time, out-of-sample forecasts. Second, out-of-sample returns are close to being unpredictable, which implies that returns may follow a martingale process. |
| Supervisor | Fulop Andras |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2014/dyachenko_artem.pdf |
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