Finance Research Seminar – with Professor Rob Sollis
Date: Wednesday 4 December | Time: 12:00 to 13:00
Location: Newcastle University Business School, Room 4.06
Professor Robert Sollis of Newcastle University Business School will present his work, entitled "Forecasting Asset Prices in the Presence of Bubbles: Can Date-Stamping Help?"
About the speaker
Professor Robert Sollis is a Professor of Financial Econometrics at Newcastle University. His research focuses on time series econometrics, with special attention to structural breaks and price bubbles in financial markets.
Research 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.