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Citations for "Instability of return prediction models"

by Paye, Bradley S. & Timmermann, Allan

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  1. Inoue, Atsushi & Rossi, Barbara, 2011. "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," CEPR Discussion Papers 8542, C.E.P.R. Discussion Papers.
  2. Linton, Oliver & Ghosh, Anisha, 2009. "Consistent estimation of the risk-return tradeoff in the presence of measurement error," UC3M Working papers. Economics we094928, Universidad Carlos III de Madrid. Departamento de Economía.
  3. Chen, Haiqiang & Fang, Ying & Li, Yingxing, 2015. "Estimation And Inference For Varying-Coefficient Models With Nonstationary Regressors Using Penalized Splines," Econometric Theory, Cambridge University Press, vol. 31(04), pages 753-777, August.
  4. Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, Department of Economics and Business Economics, Aarhus University.
  5. Horia – Dumitru CRISTEA & Cecilia – Nicoleta ANIS, 2012. "Sectoral Study of the Correlation Risk – Return for Romanian Companies," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 289-292.
  6. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, Elsevier.
  7. Narayan, Seema & Smyth, Russell, 2015. "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
  8. Fabian Baetje & Lukas Menkhoff, 2016. "Equity Premium Prediction: Are Economic and Technical Indicators Unstable?," Discussion Papers of DIW Berlin 1552, DIW Berlin, German Institute for Economic Research.
  9. Chiquoine, Benjamin & Hjalmarsson, Erik, 2009. "Jackknifing stock return predictions," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 793-803, December.
  10. Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal portfolio choice under decision-based model combinations," Working Paper 2014/15, Norges Bank.
  11. Erhard Reschenhofer, 2010. "Forecasting volatility: double averaging and weighted medians," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(3/4), pages 317-326.
  12. Daniel Waldenstr�m & Bruno S. Frey, 2006. "Using Markets to Measure Pre-War Threat Assessments: The Nordic Countries facing World War II," IEW - Working Papers 308, Institute for Empirical Research in Economics - University of Zurich.
  13. George Constantinides, 2012. "The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth," 2012 Meeting Papers 1197, Society for Economic Dynamics.
  14. Park, Cheolbeom, 2010. "When does the dividend-price ratio predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 81-101, January.
  15. 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.
  16. Jiawen Xu & Pierre Perron, 2015. "Forecasting in the presence of in and out of sample breaks," Boston University - Department of Economics - Working Papers Series wp2015-012, Boston University - Department of Economics.
  17. Charles, Amelie & Darne, Olivier & Kim, Jae, 2016. "Stock Return Predictability: Evaluation based on Prediction Intervals," MPRA Paper 70143, University Library of Munich, Germany.
  18. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
  19. Nuno Silva, 2015. "Industry based equity premium forecasts," GEMF Working Papers 2015-19, GEMF - Faculdade de Economia, Universidade de Coimbra.
  20. Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.
  21. repec:wyi:journl:002108 is not listed on IDEAS
  22. 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, The Rimini Centre for Economic Analysis.
  23. Jessica A. Wachter & Missaka Warusawitharana, 2007. "Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?," NBER Working Papers 13165, National Bureau of Economic Research, Inc.
  24. Carlo A. Favero & Arie E. Gozluklu & Andrea Tamoni, 2010. "Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns," Working Papers 360, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  25. Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
  26. Barras, Laurent, 2007. "International conditional asset allocation under specification uncertainty," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 443-464, September.
  27. Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov, 2008. "Return Predictability under Equilibrium Constraints on the Equity Premium," Working Papers 37, Brandeis University, Department of Economics and International Businesss School.
  28. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
  29. Michael Johannes & Arthur Korteweg & Nicholas Polson, 2014. "Sequential Learning, Predictability, and Optimal Portfolio Returns," Journal of Finance, American Finance Association, vol. 69(2), pages 611-644, 04.
  30. Rounaghi, Mohammad Mahdi & Nassir Zadeh, Farzaneh, 2016. "Investigation of market efficiency and Financial Stability between S&P 500 and London Stock Exchange: Monthly and yearly Forecasting of Time Series Stock Returns using ARMA model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 10-21.
  31. Nuno Silva, 2013. "Equity Premia Predictability in the EuroZone," GEMF Working Papers 2013-22, GEMF - Faculdade de Economia, Universidade de Coimbra.
  32. Çakmaklı, Cem & van Dijk, Dick, 2016. "Getting the most out of macroeconomic information for predicting excess stock returns," International Journal of Forecasting, Elsevier, vol. 32(3), pages 650-668.
  33. repec:wyi:journl:002195 is not listed on IDEAS
  34. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
  35. Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  36. Pettenuzzo, Davide & Timmermann, Allan G & Valkanov, Rossen, 2013. "Forecasting Stock Returns under Economic Constraints," CEPR Discussion Papers 9377, C.E.P.R. Discussion Papers.
  37. Daniel Waldenstrom & Bruno S. Frey, 2007. "Did Nordic Countries Recognize the Gathering Storm of World War II? Evidence from the Bond Markets," CREMA Working Paper Series 2007-18, Center for Research in Economics, Management and the Arts (CREMA).
  38. Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu, 2016. "Short interest and aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 121(1), pages 46-65.
  39. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis.
  40. Jank, Stephan, 2012. "Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability," CFR Working Papers 12-08, University of Cologne, Centre for Financial Research (CFR).
  41. Hui Hong & Fergal O'Brien & James Ryan, 2014. "Inflation And The Subsequent Timing Of The Chinese Stock Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 10(2), pages 13-35.
  42. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2014. "The international business cycle and gold-price fluctuations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 292-305.
  43. Dangl, Thomas & Halling, Michael, 2012. "Predictive regressions with time-varying coefficients," Journal of Financial Economics, Elsevier, vol. 106(1), pages 157-181.
  44. Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, vol. 26(4), pages 836-857, October.
  45. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
  46. Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75R, Brandeis University, Department of Economics and International Businesss School.
  47. Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk, 2011. "An Alternative Bayesian Approach to Structural Breaks in Time Series Models," Tinbergen Institute Discussion Papers 11-023/4, Tinbergen Institute.
  48. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2009. "Idiosyncratic risk matters! A regime switching approach," International Review of Economics & Finance, Elsevier, vol. 18(1), pages 132-141, January.
  49. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2013. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working papers 2013-19, University of Connecticut, Department of Economics.
  50. Kalli, Maria & Griffin, Jim E., 2014. "Time-varying sparsity in dynamic regression models," Journal of Econometrics, Elsevier, vol. 178(2), pages 779-793.
  51. Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian, 2008. "Economic and financial crises and the predictability of U.S. stock returns," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 468-480, June.
  52. Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 1-18.
  53. Cenesizoglu, Tolga & Timmermann, Allan, 2012. "Do return prediction models add economic value?," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2974-2987.
  54. Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  55. Nuno Silva, 2015. "Time-Varying Stock Return Predictability: The Eurozone Case," Notas Económicas, Faculdade de Economia, Universidade de Coimbra, issue 41, pages 28-38, June.
  56. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
  57. Pettenuzzo, Davide & Timmermann, Allan, 2011. "Predictability of stock returns and asset allocation under structural breaks," Journal of Econometrics, Elsevier, vol. 164(1), pages 60-78, September.
  58. repec:bny:wpaper:0037 is not listed on IDEAS
  59. Gonzalo, Jesus & Pitarakis, Jean-Yves, 2015. "Inferring the predictability induced by a persistent regressor in a predictive threshold model," Discussion Paper Series In Economics And Econometrics 1518, Economics Division, School of Social Sciences, University of Southampton.
  60. Zhu, Xiaoneng & Zhu, Jie, 2013. "Predicting stock returns: A regime-switching combination approach and economic links," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4120-4133.
  61. Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers 2009-36, Department of Economics and Business Economics, Aarhus University.
  62. Cai, Zongwu & Wang, Yunfei, 2014. "Testing predictive regression models with nonstationary regressors," Journal of Econometrics, Elsevier, vol. 178(P1), pages 4-14.
  63. McMillan, David G., 2014. "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 90-101.
  64. Michael Scholz & Jens Perch Nielsen & Stefan Sperlich, 2012. "Nonparametric prediction of stock returns guided by prior knowledge," Graz Economics Papers 2012-02, University of Graz, Department of Economics.
  65. Massacci, Daniele, 2013. "A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns," Economics Letters, Elsevier, vol. 119(2), pages 199-203.
  66. Scholz, Michael & Nielsen, Jens Perch & Sperlich, Stefan, 2015. "Nonparametric prediction of stock returns based on yearly data: The long-term view," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 143-155.
  67. Narayan, Paresh Kumar & Narayan, Seema & Thuraisamy, Kannan Sivananthan, 2014. "Can institutions and macroeconomic factors predict stock returns in emerging markets?," Emerging Markets Review, Elsevier, vol. 19(C), pages 77-95.
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