CANCELLED Finance Research Seminar – Professor Rob Sollis

Title: Forecasting Asset Prices in the Presence of Bubbles: Can Date-Stamping Help?

Date: 4 December 2024

Time: 12:00 – 13:00

Venue: NUBS.4.06

If you would like to attend, please register using the following link:

Forecasting Asset Prices in the Presence of Bubbles: Can Date-Stamping Help?

Speaker:  Professor Rob Sollis

Professor Robert Sollis, Professor of Financial Econometrics, Newcastle University

Abstract:

Recent research suggests that price series for many financial assets contain structural breaks between periods of normal, explosive, and collapsing behaviour due to the growth and collapse of price bubbles. I investigate forecasting asset prices using orthodox time series models in the presence of this type of behaviour. A two-step approach is proposed. The first step involves using recently developed techniques to date stamp historical bubbles. In the second step, the date-stamping results are used to help choose the forecasting specification and parameter estimation window. The performance of this approach is studied in simulation experiments and an application to forecasting house price indices is also discussed.