Market timing and return prediction under model instability

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Market timing and return prediction under model instability

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Pesaran, M. Hashem
Timmermann, Allan

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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 9 (2002)
Issue (Month): 5 (December)
Pages: 495-510
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Handle: RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510

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Paper
- Allan Timmermann & M. Hashem Pesaran, 2002. "Market Timing and Return Prediction under Model Instability," FMG Discussion Papers dp412, Financial Markets Group. [Downloadable!] (restricted)

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Yang Yang & Tae-Hwy Lee, 2004. "Bagging Binary Predictors for Time Series," Econometric Society 2004 Far Eastern Meetings 512, Econometric Society. [Downloadable!]
Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," IEPR Working Papers 06.42, Institute of Economic Policy Research (IEPR). [Downloadable!]
Other versions:
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, structural instability and present value calculations," Computing in Economics and Finance 2006 529, Society for Computational Economics. [Downloadable!]
- Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2006. "Learning, Structural Instability and Present Value Calculations," Cambridge Working Papers in Economics 0602, Faculty of Economics, University of Cambridge. [Downloadable!]
- Pesaran, Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2006. "Learning, structural instability and present value calculations," Discussion Paper Series 1: Economic Studies 2006,27, Deutsche Bundesbank, Research Centre. [Downloadable!]
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
- Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2007. "Learning, Structural Instability, and Present Value Calculations," Econometric Reviews, Taylor and Francis Journals, vol. 26(2-4), pages 253-288. [Downloadable!] (restricted)
M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
Other versions:
- Pesaran, M. Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," IZA Discussion Papers 1196, Institute for the Study of Labor (IZA). [Downloadable!]
- Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2004. "‘Forecasting Time Series Subject to Multiple Structural Breaks’," Cambridge Working Papers in Economics 0433, Faculty of Economics, University of Cambridge. [Downloadable!]
- Pesaran, M Hashem & Pettenuzzo, Davide & Timmermann, Allan G, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," CEPR Discussion Papers 4636, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
- Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Forecasting Time Series Subject to Multiple Structural Breaks," Review of Economic Studies, Blackwell Publishing, vol. 73(4), pages 1057-1084, October. [Downloadable!] (restricted)
John M Maheu & Stephen Gordon, 2007. "Learning, Forecasting and Structural Breaks," Working Papers tecipa-284, University of Toronto, Department of Economics. [Downloadable!]
Other versions:
- John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE. [Downloadable!]
Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City. [Downloadable!]
Todd E. Clark & Michael W. McCracken, 2006. "Combining forecasts from nested models," Research Working Paper RWP 06-02, Federal Reserve Bank of Kansas City. [Downloadable!]
Other versions:
- Todd E. Clark & Michael W. McCracken, 2007. "Combining forecasts from nested models," Finance and Economics Discussion Series 2007-43, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
John M Maheu & Thomas H McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Papers tecipa-293, University of Toronto, Department of Economics. [Downloadable!]
Other versions:
- John M. Maheu & Thomas H. McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Paper Series 19-07, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]
Patrick McGlenchy & Paul Kofman, 2004. "Structurally Sound Dynamic Index Futures Hedging," Econometric Society 2004 Australasian Meetings 80, Econometric Society. [Downloadable!]
Pesaran, M.H. & Timmermann, A., 2004. "‘Real Time Econometrics’," Cambridge Working Papers in Economics 0432, Faculty of Economics, University of Cambridge. [Downloadable!]
Other versions:
- Pesaran, M Hashem & Timmermann, Allan G, 2004. "Real Time Econometrics," CEPR Discussion Papers 4402, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
- Pesaran, M. Hashem & Timmermann, Allan, 2004. "Real Time Econometrics," IZA Discussion Papers 1108, Institute for the Study of Labor (IZA). [Downloadable!]
- M. Hashem Pesaran & Allan Timmermann, 2004. "Real Time Econometrics," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
- Pesaran, Hashem & Timmermann, Allan, 2005. "Real-Time Econometrics," Econometric Theory, Cambridge University Press, vol. 21(01), pages 212-231, February. [Downloadable!]
Pesaran, H.M. & Timmermann, A., 2003. "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," Cambridge Working Papers in Economics 0306, Faculty of Economics, University of Cambridge. [Downloadable!]
Other versions:
- Allan Timmermann & M. Hashem Pesaran, 2003. "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
- Pesaran, M. Hashem & Timmermann, Allan, 2004. "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, vol. 20(3), pages 411-425. [Downloadable!] (restricted)
Christian Conrad & Menelaos Karanasos & Ning Zeng, 2008. "Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study," Working Papers 0472, University of Heidelberg, Department of Economics, revised Jul 2008. [Downloadable!]
Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR). [Downloadable!]
Todd E. Clark & Michael W. McCracken, 2004. "Improving forecast accuracy by combining recursive and rolling forecasts," Research Working Paper RWP 04-10, Federal Reserve Bank of Kansas City. [Downloadable!]
Other versions:
- Todd E. Clark & Michael W. McCracken, 2008. "Improving forecast accuracy by combining recursive and rolling forecasts," Working Papers 2008-028, Federal Reserve Bank of St. Louis. [Downloadable!]
Anne Vila Wetherilt & Simon Wells, . "Long-horizon equity return predictability: some new evidence for the United Kingdom," Bank of England working papers 244, Bank of England. [Downloadable!]
Pedro N. Rodríguez, & Simón Sosvilla-Rivero, 2006. "Forecasting Stock Price Changes: Is it Possible?," Working Papers 2006-22, FEDEA. [Downloadable!]
Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889. [Downloadable!]
Aiolfi, Marco & Favero, Carlo A, 2003. "Model Uncertainty, Thick Modelling and the Predictability of Stock Returns," CEPR Discussion Papers 3997, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Other versions:
- Marco Aiolfi & Carlo Ambrogio Favero, . "Model Uncertainty, Thick Modelling and the predictability of Stock Returns," Working Papers 221, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]

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