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Citations for "Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?"

by Bossaerts, Peter & Hillion, Pierre

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  1. Geert Bekaert & Campbell R. Harvey & Robin L. Lumsdaine, 1998. "Dating the Integration of World Equity Markets," NBER Working Papers 6724, National Bureau of Economic Research, Inc.
  2. Todd E. Clark & Michael W. McCracken, 2006. "Combining forecasts from nested models," Research Working Paper RWP 06-02, Federal Reserve Bank of Kansas City.
  3. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
  4. Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
  5. Guo, Hui, 2006. "Time-varying risk premia and the cross section of stock returns," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2087-2107, July.
  6. Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis.
  7. 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.
  8. Amit Goyal & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers amz2412, Yale School of Management, revised 01 Jan 2006.
  9. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
  10. Fletcher, Jonathan & Hillier, Joe, 2002. "An examination of the economic significance of stock return predictability in UK stock returns," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 373-392.
  11. Georgi Nalbantov & Rob Bauer & Ida Sprinkhuizen-Kuyper, 2006. "Equity style timing using support vector regressions," Applied Financial Economics, Taylor & Francis Journals, vol. 16(15), pages 1095-1111.
  12. Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003. "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, vol. 58(4), pages 1393-1414, 08.
  13. Barras, Laurent, 2007. "International conditional asset allocation under specification uncertainty," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 443-464, September.
  14. Sadorsky, Perry, 2002. "Time-varying risk premiums in petroleum futures prices," Energy Economics, Elsevier, vol. 24(6), pages 539-556, November.
  15. Cesare Robotti, 2003. "Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio," Working Paper 2003-6, Federal Reserve Bank of Atlanta.
  16. GIOT, Pierre & PETITJEAN, Mikael, 2006. "The information content of the Bond-Equity Yield Ratio: better than a random walk?," CORE Discussion Papers 2006089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  17. Harry Mamaysky & Matthew Spiegel & Hong Zhang, 2007. "Improved Forecasting of Mutual Fund Alphas and Betas," Review of Finance, European Finance Association, vol. 11(3), pages 359-400.
  18. Vrontos, Spyridon D. & Vrontos, Ioannis D. & Giamouridis, Daniel, 2008. "Hedge fund pricing and model uncertainty," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 741-753, May.
  19. 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.
  20. Hui Guo & Robert Savickas, 2003. "On the cross section of conditionally expected stock returns," Working Papers 2003-043, Federal Reserve Bank of St. Louis.
  21. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
  22. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 341-381.
  23. Tu, Jun & Zhou, Guofu, 2004. "Data-generating process uncertainty: What difference does it make in portfolio decisions?," Journal of Financial Economics, Elsevier, vol. 72(2), pages 385-421, May.
  24. Chang-Jin Kim & Cheolbeom Park, 2012. "Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability," Discussion Paper Series 1205, Institute of Economic Research, Korea University.
  25. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 463-488.
  26. Shanken, Jay & Tamayo, Ane, 2012. "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 131-152.
  27. Brandt, Michael W. & Kang, Qiang, 2004. "On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach," Journal of Financial Economics, Elsevier, vol. 72(2), pages 217-257, May.
  28. Korkie, Bob & Sivakumar, Ranjini & Turtle, Harry, 2002. "The dual contributions of information instruments in return models: magnitude and direction predictability," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 511-523, December.
  29. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006 129, Money Macro and Finance Research Group.
  30. Ferreira, Miguel A. & Santa-Clara, Pedro, 2011. "Forecasting stock market returns: The sum of the parts is more than the whole," Journal of Financial Economics, Elsevier, vol. 100(3), pages 514-537, June.
  31. Laurence Fung & Ip-wing Yu, 2008. "Predicting Stock Market Returns by Combining Forecasts," Working Papers 0801, Hong Kong Monetary Authority.
  32. Rosario Dell'Aquila & Elvezio Ronchetti, 2004. "Stock and Bond Return Predictability : The Discrimination Power of Model Selection Criteria," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2004.05, Institut d'Economie et Econométrie, Université de Genève.
  33. Meligkotsidou, Loukia & Vrontos, Ioannis D. & Vrontos, Spyridon D., 2009. "Quantile regression analysis of hedge fund strategies," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 264-279, March.
  34. Torous, Walter & Valkanov, Rossen, 2000. "Boundaries of Predictability: Noisy Predictive Regressions," University of California at Los Angeles, Anderson Graduate School of Management qt33p7672z, Anderson Graduate School of Management, UCLA.
  35. Cooper, Michael J. & Jackson, William III & Patterson, Gary A., 2003. "Evidence of predictability in the cross-section of bank stock returns," Journal of Banking & Finance, Elsevier, vol. 27(5), pages 817-850, May.
  36. 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.
  37. Eleswarapu, Venkat R. & Thompson, Rex, 2007. "Testing for negative expected market return premia," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1755-1770, June.
  38. Cenesizoglu, Tolga & Timmermann, Allan, 2012. "Do return prediction models add economic value?," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2974-2987.
  39. Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers 80, Brandeis University, Department of Economics and International Businesss School.
  40. 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.
  41. repec:dgr:kubcen:200078 is not listed on IDEAS
  42. M. Hashem Pesaran & Allan Timmermann, 2002. "Market timing and return prediction under model instability," LSE Research Online Documents on Economics 24932, London School of Economics and Political Science, LSE Library.
  43. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc.
  44. Eric Hillebrand & Tae-Hwy Lee & Marcelo C. Medeiros, 2012. "Let's Do It Again: Bagging Equity Premium Predictors," CREATES Research Papers 2012-41, School of Economics and Management, University of Aarhus.
  45. Zakamulin, Valeriy, 2013. "Forecasting the size premium over different time horizons," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1061-1072.
  46. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.
  47. Hui Guo, 2006. "On the Out-of-Sample Predictability of Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 79(2), pages 645-670, March.
  48. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis.
  49. Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337.
  50. Inoue, Atsushi & Kilian, Lutz, 2003. "On the Selection of Forecasting Models," CEPR Discussion Papers 3809, C.E.P.R. Discussion Papers.
  51. Dangl, Thomas & Halling, Michael, 2012. "Predictive regressions with time-varying coefficients," Journal of Financial Economics, Elsevier, vol. 106(1), pages 157-181.
  52. K. J. Martijn Cremers, 2002. "Stock Return Predictability: A Bayesian Model Selection Perspective," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1223-1249.
  53. Amit Goyal & Ivo Welch, 1999. "Predicting the Equity Premium with Dividend Ratios," Yale School of Management Working Papers amz2437, Yale School of Management, revised 01 Nov 2002.
  54. Wachter, Jessica A. & Warusawitharana, Missaka, 2009. "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February.
  55. Brennan, Michael J. & Xia, Yihong, 2000. "Dynamic Asset Allocation under Inflation," University of California at Los Angeles, Anderson Graduate School of Management qt8p95456t, Anderson Graduate School of Management, UCLA.
  56. João Sousa & Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S," Working Papers w201119, Banco de Portugal, Economics and Research Department.
  57. John Driffill & Turalay Kenc & Martin Sola & Fabio Spagnolo, 2008. "On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts," Department of Economics Working Papers 2008-04, Universidad Torcuato Di Tella.
  58. Giorgio Valente & Lucio Sarno, 2004. "Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Working Papers wp04-11, Warwick Business School, Finance Group.
  59. Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian, 2006. "Economic and Financial Crises and the Predictability of U.S. Stock Returns," MPRA Paper 561, University Library of Munich, Germany.
  60. Arnulfo Rodríguez & Pedro N. Rodríguez, 2007. "Recursive Thick Modeling and the Choice of Monetary Policy in Mexico," Working Papers 2007-04, Banco de México.
  61. Valeriy Zakamulin, 2012. "Low-Frequency Waves and the Medium to Long-Term US Stock Market Outlook," Papers 1203.2250, arXiv.org, revised Jan 2013.
  62. Piergiorgio Alessandri & Donald Robertson & Stephen Wright, 2008. "Miller and Modigliani, Predictive Return Regressions and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(2), pages 181-207, 04.
  63. Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2011. "Predictability of Returns and Cash Flows," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 467-491, December.
  64. Pedro N. Rodríguez, & Simón Sosvilla-Rivero, 2006. "Forecasting Stock Price Changes: Is it Possible?," Working Papers 2006-22, FEDEA.
  65. Jay Shanken & Ane Tamayo, 2001. "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers 8666, National Bureau of Economic Research, Inc.
  66. Fabian Baetje & Lukas Menkhoff, 2015. "Equity Premium Prediction: Are Economic and Technical Indicators Instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy.
  67. Guo, Hui & Savickas, Robert, 2006. "Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 43-56, January.
  68. Granger, Clive & Timmermann, Allan G, 2002. "Efficient Market Hypothesis and Forecasting," CEPR Discussion Papers 3593, C.E.P.R. Discussion Papers.
  69. Rapach, David E. & Wohar, Mark E., 2006. "In-sample vs. out-of-sample tests of stock return predictability in the context of data mining," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 231-247, March.
  70. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  71. 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.
  72. Chih-Ling Tsai & Hansheng Wang & Ning Zhu, 2010. "Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions," Annals of the Institute of Statistical Mathematics, Springer, vol. 62(1), pages 109-116, February.
  73. David le Bris & William N. Goetzmann & Sébastien Pouget, 2014. "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers 20199, National Bureau of Economic Research, Inc.
  74. Bulkley, George & Giordani, Paolo, 2011. "Structural breaks, parameter uncertainty, and term structure puzzles," Journal of Financial Economics, Elsevier, vol. 102(1), pages 222-232, October.
  75. Han, Yufeng, 2012. "State uncertainty in stock markets: How big is the impact on the cost of equity?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2575-2592.
  76. Davide Pettenuzzo & Allan Timmermann & Rossen Valkanov, 2013. "Forecasting Stock Returns under Economic Constraints," Working Papers 57, Brandeis University, Department of Economics and International Businesss School.
  77. 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.
  78. Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks 191, Collegio Carlo Alberto.
  79. 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.
  80. Wessel Marquering, 2006. "Do consumption-based asset pricing models explain return predictability?," Applied Financial Economics, Taylor & Francis Journals, vol. 16(14), pages 1019-1027.
  81. Donald Robertson & Stephen Wright, 2006. "Dividends, Total Cash Flow to Shareholders, and Predictive Return Regressions," The Review of Economics and Statistics, MIT Press, vol. 88(1), pages 91-99, February.
  82. Arnulfo Rodriguez & Pedro N. Rodriguez, 2006. "Recursive Thick Modeling and the Choice of Monetary Policy in Mexico," Computing in Economics and Finance 2006 30, Society for Computational Economics.
  83. repec:dgr:uvatin:2010115 is not listed on IDEAS
  84. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
  85. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
  86. Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc.
  87. Fletcher, Jonathan & Hillier, Joe, 2005. "An examination of linear factor models in country equity asset allocation strategies," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 808-823, September.
  88. Massimiliano Kaucic, 2009. "Predicting EU Energy Industry Excess Returns on EU Market Index via a Constrained Genetic Algorithm," Computational Economics, Society for Computational Economics, vol. 34(2), pages 173-193, September.
  89. Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers 2005-006, Federal Reserve Bank of St. Louis.
  90. 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.
  91. Pierdzioch, Christian & Schertler, Andrea, 2008. "Investing in European stock markets for high-technology firms," Global Finance Journal, Elsevier, vol. 18(3), pages 400-415.
  92. Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
  93. Sarno, Lucio & Valente, Giorgio, 2008. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," CEPR Discussion Papers 6638, C.E.P.R. Discussion Papers.
  94. David Rey, 2005. "Market Timing And Model Uncertainty: An Exploratory Study For The Swiss Stock Market," Financial Markets and Portfolio Management, Springer, vol. 19(3), pages 239-260, October.
  95. Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, vol. 128(1), pages 136-163, May.
  96. Hui Guo, 2004. "A rational pricing explanation for the failure of CAPM," Review, Federal Reserve Bank of St. Louis, issue May, pages 23-34.
  97. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
  98. Thomas Nitschka, 2012. "Global and country-specific business cycle risk in time-varying excess returns on asset markets," Working Papers 2012-10, Swiss National Bank.
  99. Michel DUBOIS & Pierre JEANNERET, 2000. "The Long-run Performance of Seasoned Equity Offerings with rights evidence from the Swiss Market," FAME Research Paper Series rp22, International Center for Financial Asset Management and Engineering.
  100. Michael Steiner, 2009. "Predicting premiums for the market, size, value, and momentum factors," Financial Markets and Portfolio Management, Springer, vol. 23(2), pages 137-155, June.
  101. 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).
  102. Dell'Aquila, Rosario & Ronchetti, Elvezio, 2006. "Stock and bond return predictability: the discrimination power of model selection criteria," Computational Statistics & Data Analysis, Elsevier, vol. 50(6), pages 1478-1495, March.
  103. 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.
  104. Simin, Timothy, 2008. "The Poor Predictive Performance of Asset Pricing Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(02), pages 355-380, June.
  105. Hahn, Jaehoon & Lee, Hangyong, 2006. "Interpreting the predictive power of the consumption-wealth ratio," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 183-202, March.
  106. Bauer, Rob & Derwall, Jeroen & Molenaar, Roderick, 2004. "The real-time predictability of the size and value premium in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 503-523, November.
  107. Rohloff, Sebastian & Pierdzioch, Christian & Risse, Marian, 2014. "Fluctuations of the Real Exchange Rate, Real Interest Rates, and the Dynamics of the Price of Gold in a Small Open Economy," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100429, Verein für Socialpolitik / German Economic Association.
  108. Davide Pettenuzzo, 2013. "To Predict the Equity Market, Consult Economic Theory," Rosenberg Global Financial Briefs 8, Brandeis University, Rosenberg Institute of Global Finance, International Businesss School, revised 2014.
  109. Jessica Wachter, 2010. "Asset Allocation," NBER Working Papers 16255, National Bureau of Economic Research, Inc.
  110. Sadorsky, Perry, 2006. "Modeling and forecasting petroleum futures volatility," Energy Economics, Elsevier, vol. 28(4), pages 467-488, July.
  111. Avramov, Doron & Chordia, Tarun, 2006. "Predicting stock returns," Journal of Financial Economics, Elsevier, vol. 82(2), pages 387-415, November.
  112. Kellard, Neil M. & Nankervis, John C. & Papadimitriou, Fotios I., 2010. "Predicting the equity premium with dividend ratios: Reconciling the evidence," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 539-551, September.
  113. Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2008. "Real-time macroeconomic data and ex ante stock return predictability," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 274-290.
  114. Biswas, Anindya, 2014. "The output gap and expected security returns," Review of Financial Economics, Elsevier, vol. 23(3), pages 131-140.
  115. Rapach, David E. & Wohar, Mark E. & Rangvid, Jesper, 2005. "Macro variables and international stock return predictability," International Journal of Forecasting, Elsevier, vol. 21(1), pages 137-166.
  116. Chang, Kuang-Liang & Chen, Nan-Kuang & Leung, Charles Ka Yui, 2012. "The dynamics of housing returns in Singapore: How important are the international transmission mechanisms?," Regional Science and Urban Economics, Elsevier, vol. 42(3), pages 516-530.
  117. Jiang, Xiaoquan & Lee, Bong-Soo, 2007. "Stock returns, dividend yield, and book-to-market ratio," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 455-475, February.
  118. Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
  119. Francisco Peñaranda, 2003. "Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty," LSE Research Online Documents on Economics 24857, London School of Economics and Political Science, LSE Library.
  120. Anton Bekkerman, 2011. "Time-varying hedge ratios in linked agricultural markets," Agricultural Finance Review, Emerald Group Publishing, vol. 71(2), pages 179-200, July.
  121. 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.
  122. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla & Masih, A. Mansur M., 2014. "Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model," MPRA Paper 56965, University Library of Munich, Germany.
  123. 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.
  124. Junttila, Juha & Kinnunen, Heli, 2004. "The performance of economic tracking portfolios in an IT-intensive stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 601-623, September.
  125. Jennie Bai, 2010. "Equity premium predictions with adaptive macro indexes," Staff Reports 475, Federal Reserve Bank of New York.
  126. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
  127. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
  128. Xia, Yihong, 2000. "Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation," University of California at Los Angeles, Anderson Graduate School of Management qt3167f8mz, Anderson Graduate School of Management, UCLA.
  129. 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.
  130. Wegener, Christian & von Nitzsch, Rüdiger & Cengiz, Cetin, 2010. "An advanced perspective on the predictability in hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2694-2708, November.
  131. Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 1-18.
  132. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
  133. Fang, Yue & Xu, Daming, 2003. "The predictability of asset returns: an approach combining technical analysis and time series forecasts," International Journal of Forecasting, Elsevier, vol. 19(3), pages 369-385.
  134. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.