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Citations for "The Economic Value of Predicting Stock Index Returns and Volatility"

by Wessel Marquering & Marno Verbeek

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  1. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
  2. de Goeij, Peter & Marquering, Wessel, 2009. "Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 318-329, March.
  3. Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2010. "Spot and Forward Volatility in Foreign Exchange," CEPR Discussion Papers 7893, C.E.P.R. Discussion Papers.
  4. Hwang, Ruey-Ching, 2012. "A varying-coefficient default model," International Journal of Forecasting, Elsevier, vol. 28(3), pages 675-688.
  5. Wessel Marquering, 2006. "Do consumption-based asset pricing models explain return predictability?," Applied Financial Economics, Taylor & Francis Journals, vol. 16(14), pages 1019-1027.
  6. Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
  7. Bertrand Candelon & Jameel Ahmed & Stefan Straetmans, 2014. "Predicting and Capitalizing on Stock Market Bears in the U.S," Working Papers 2014-409, Department of Research, Ipag Business School.
  8. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 13, October.
  9. Giambona, Erasmo & Golec, Joseph, 2009. "Mutual fund volatility timing and management fees," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 589-599, April.
  10. Tsiakas, Ilias, 2008. "Overnight information and stochastic volatility: A study of European and US stock exchanges," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 251-268, February.
  11. Wessel Marquering & Johan Nisser & Toni Valla, 2006. "Disappearing anomalies: a dynamic analysis of the persistence of anomalies," Applied Financial Economics, Taylor & Francis Journals, vol. 16(4), pages 291-302.
  12. Sharma, Susan Sunila & Narayan, Paresh Kumar & Zheng, Xinwei, 2014. "An analysis of firm and market volatility," Economic Systems, Elsevier, vol. 38(2), pages 205-220.
  13. Ravazzolo, F. & van Dijk, D.J.C. & Paap, R. & Franses, Ph.H.B.F., 2006. "Bayesian Model Averaging in the Presence of Structural Breaks," Econometric Institute Research Papers EI 2006-33, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  14. 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, Penerbit Universiti Sains Malaysia, vol. 10(2), pages 13-35.
  15. Susan S Sharma & Kannan Thuraisamy, 2012. "Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies," Financial Econometics Series 2012_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  16. Balvers, Ronald & Wu, Yangru, 2010. "Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration," Journal of Financial Markets, Elsevier, vol. 13(1), pages 129-156, February.
  17. Vasios, Michalis & Payne, Richard & Nolte, Ingmar, 2015. "Profiting from Mimicking Strategies in Non-Anonymous Markets," MPRA Paper 61710, University Library of Munich, Germany.
  18. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers CoFie-02-2011, Sim Kee Boon Institute for Financial Economics.
  19. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
  20. Westerlund, Joakim & Narayan, Paresh Kumar, 2012. "Does the choice of estimator matter when forecasting returns?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2632-2640.
  21. Giannetti, A., 2007. "The short term predictive ability of earnings-price ratios: The recent evidence (1994-2003)," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(1), pages 26-39, March.
  22. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
  23. Kole, H.J.W.G. & van Dijk, D.J.C., 2013. "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management ERS-2013-016-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  24. Boucher, Christophe & Maillet, Bertrand & Michel, Thierry, 2008. "Do misalignments predict aggregated stock-market volatility?," Economics Letters, Elsevier, vol. 100(2), pages 317-320, August.
  25. Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu, 2015. "Economic significance of commodity return forecasts from the fractionally cointegrated VAR model," Working Papers 1337, Queen's University, Department of Economics.
  26. Yufeng Han, 2010. "On the Economic Value of Return Predictability," Annals of Economics and Finance, Society for AEF, vol. 11(1), pages 1-33, May.
  27. Elliott, Graham & Gargano, Antonio & Timmermann, Allan, 2013. "Complete subset regressions," Journal of Econometrics, Elsevier, vol. 177(2), pages 357-373.
  28. Barras, Laurent, 2007. "International conditional asset allocation under specification uncertainty," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 443-464, September.
  29. Kao, Erin H., 2011. "Momentum and reversals in Taiwan index futures returns during periods of extreme trading imbalance," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 459-467, June.
  30. Thomas Q. Pedersen, 2010. "Predictable return distributions," CREATES Research Papers 2010-38, School of Economics and Management, University of Aarhus.
  31. Pasquale Della Corte & Lucio Sarno & Daniel L. Thornton, 2007. "The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value," Working Papers 2006-061, Federal Reserve Bank of St. Louis.
  32. Narayan, Paresh Kumar & Westerlund, Joakim, 2014. "Does cash flow predict returns?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 230-236.
  33. de Goeij, P. C. & Marquering, W., 2004. "Modeling the conditional covariance between stock and bond returns : A multivariate GARCH approach," Other publications TiSEM 94fe5ada-715a-4339-b94c-f, Tilburg University, School of Economics and Management.
  34. Pasquale Della Corte & Lucio Sarno & Giulia Sestieri, 2012. "The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 100-115, February.
  35. Marquering, Wessel & Verbeek, Marno, 2004. "A multivariate nonparametric test for return and volatility timing," Finance Research Letters, Elsevier, vol. 1(4), pages 250-260, December.
  36. Morel, Christophe & Michel, Thierry & Michel, Laurent, 2010. "A Volatility-Driven Asset Allocation (VDAA)," Economics Papers from University Paris Dauphine 123456789/5954, Paris Dauphine University.
  37. de Goeij, P. C. & Marquering, W., 2009. "Stock and bond market interactions with level and asymmetry dynamics : An out-of-sample application," Other publications TiSEM fa1d33b9-7e68-4e15-b211-e, Tilburg University, School of Economics and Management.
  38. Paresh Kumar Narayan & Seema Narayan & Susan S Sharma, . "An analysis of commodity markets: What gain for investors?," Financial Econometics Series 2013_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  39. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2014. "Firm return volatility and economic gains: The role of oil prices," Economic Modelling, Elsevier, vol. 38(C), pages 142-151.
  40. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
  41. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Stock return forecasting: Some new evidence," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 38-51.
  42. Li, Yan & Ng, David T. & Swaminathan, Bhaskaran, 2013. "Predicting market returns using aggregate implied cost of capital," Journal of Financial Economics, Elsevier, vol. 110(2), pages 419-436.
  43. Veera Lenkkeri & Wessel Marquering & Ben Strunkmann-Meister, 2006. "The Friday Effect in European Securitized Real Estate Index Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 31-50, August.
  44. Paye, Bradley S., 2012. "‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables," Journal of Financial Economics, Elsevier, vol. 106(3), pages 527-546.
  45. Fabian Baetje & Lukas Menkhoff, 2015. "Equity Premium Prediction: Are Economic and Technical Indicators Instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy.
  46. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
  47. Carlo Altavilla & Raffaella Giacomini & Riccardo Costantini, 2013. "Bond returns and market expectations," CeMMAP working papers CWP20/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  48. Chou, Ray Yeutien & Liu, Nathan, 2010. "The economic value of volatility timing using a range-based volatility model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2288-2301, November.
  49. 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.
  50. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek, 2009. "Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights," Tinbergen Institute Discussion Papers 09-061/4, Tinbergen Institute.
  51. Biswas, Anindya, 2014. "The output gap and expected security returns," Review of Financial Economics, Elsevier, vol. 23(3), pages 131-140.
  52. Barnhart, Scott W. & Giannetti, Antoine, 2009. "Negative earnings, positive earnings and stock return predictability: An empirical examination of market timing," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 70-86, January.
  53. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
  54. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek, 2009. "Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights," Tinbergen Institute Discussion Papers 09-061/4, Tinbergen Institute.
  55. Allen, D. & Lizieri, C. & Satchell, S., 2012. "Mean-Variance versus 1/N: What if we can forecast? (Updated 22nd December 2013)," Cambridge Working Papers in Economics 1244, Faculty of Economics, University of Cambridge.
  56. 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.
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