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Reverse Regressions And Long‐Horizon Forecasting

Author

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  • Min Wei
  • Jonathan H. Wright

Abstract

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Suggested Citation

  • Min Wei & Jonathan H. Wright, 2013. "Reverse Regressions And Long‐Horizon Forecasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 353-371, April.
    • Handle: RePEc:wly:japmet:v:28:y:2013:i:3:p:353-371
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    Citations

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    Cited by:

    1. Bauer, Michael & Chernov, Mikhail, 2021. "Interest rate skewness and biased beliefs," IMFS Working Paper Series 163, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    2. Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
    3. Jesùs Gonzalo & Jean-Yves Pitarakis, 2017. "Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 202-217, April.
    4. Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
    5. Richard K. Crump & Nikolay Gospodinov, 2019. "Deconstructing the yield curve," Staff Reports 884, Federal Reserve Bank of New York.
    6. Jing-Zhi Huang & Zhan Shi, 2023. "Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance," Management Science, INFORMS, vol. 69(3), pages 1780-1804, March.
    7. Faten Ben Bouheni & Manish Tewari, 2023. "Common risk factors and risk–return trade-off for REITs and treasuries," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 374-395, September.
    8. Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Transformed regression-based long-horizon predictability tests," Journal of Econometrics, Elsevier, vol. 237(2).
    9. Jiang, Zhengyang, 2021. "US Fiscal cycle and the dollar," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 91-106.
    10. Bansal, Naresh & Stivers, Chris, 2022. "Bond risk’s role in the equity risk-return tradeoff," Journal of Financial Markets, Elsevier, vol. 60(C).
    11. Bretscher, Lorenzo & Hsu, Alex & Tamoni, Andrea, 2020. "Fiscal policy driven bond risk premia," Journal of Financial Economics, Elsevier, vol. 138(1), pages 53-73.
    12. Andrea Berardi & Michael Markovich & Alberto Plazzi & Andrea Tamoni, 2021. "Mind the (Convergence) Gap: Bond Predictability Strikes Back!," Management Science, INFORMS, vol. 67(12), pages 7888-7911, December.

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