International stock return predictability under model uncertainty
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- Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Leibniz Centre for European Economic Research.
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- Amélie Charles & Olivier Darné & Jae H. Kim, 2022.
"Stock return predictability: Evaluation based on interval forecasts,"
Bulletin of Economic Research, Wiley Blackwell, vol. 74(2), pages 363-385, April.
- Amélie Charles & Olivier Darné & Jae Kim, 2022. "Stock Return Predictability: Evaluation based on interval forecasts," Post-Print hal-03656310, HAL.
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- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012.
"A comprehensive look at financial volatility prediction by economic variables,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2010. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," CREATES Research Papers 2010-58, Department of Economics and Business Economics, Aarhus University.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
- Yin, Anwen, 2020. "Equity premium prediction and optimal portfolio decision with Bagging," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Gagnon, Marie-Hélène & Power, Gabriel J. & Toupin, Dominique, 2023. "The sum of all fears: Forecasting international returns using option-implied risk measures," Journal of Banking & Finance, Elsevier, vol. 146(C).
- Amélie Charles & Olivier Darné & Jae H. Kim, 2016.
"Stock Return Predictability: Evaluation based on prediction intervals,"
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- Amélie Charles & Olivier Darné & Jae H Kim, 2017. "International Stock Return Predictability: Evidence from New Statistical Tests," Post-Print hal-01626101, HAL.
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More about this item
Keywords
Stock return predictability Bayesian model averaging Model uncertainty International stock markets;JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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