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Gábor Kőrösi

works at the KRTK Institute of Economics, Hungarian Academy of Sciences. His main field is applied econometrics. He uses various econometric techniques at different problems from finance, labour and IO.

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Gábor Kőrösi: Predicting the unpredictable

This paper demonstrates that the great recession brought substantial changes to the operation of the Budapest stock exchange. It presents a trading strategy, which would have been highly profitable during the great recession and its immediate aftermaths, and would be mildly profitable ever since. However, this strategy is based on a selection of relatively short-run models; there does not seem to be any stable predictive model.
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Last modified: 2018.11.30.