[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Market timing and return prediction under model instability. (2002). Timmermann, Allan ; Pesaran, M.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510.

Full description at Econpapers || Download paper

Cited: 173

Citations received by this document

Cites: 28

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Do conventional and new energy stock markets herd differently? Evidence from China. (2024). Zhang, Cheng ; Jiang, Lijun ; Hong, Hui ; Yue, Zhonggang.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002465.

    Full description at Econpapers || Download paper

  2. Forecasting in the presence of in-sample and out-of-sample breaks. (2023). Perron, Pierre ; Xu, Jiawen.
    In: Empirical Economics.
    RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02346-x.

    Full description at Econpapers || Download paper

  3. Structural Breaks in Seemingly Unrelated Regression Models. (2023). Parsaeian, Shahnaz.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:202308.

    Full description at Econpapers || Download paper

  4. Forecasting rare earth stock prices with machine learning. (2023). Sadorsky, Perry ; Henriques, Irene.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009595.

    Full description at Econpapers || Download paper

  5. Nonlinear effect of air travel tourism demand on economic growth in Fiji. (2023). Patel, Arvind ; Kumar, Nikeel Nishkar.
    In: Journal of Air Transport Management.
    RePEc:eee:jaitra:v:109:y:2023:i:c:s0969699723000455.

    Full description at Econpapers || Download paper

  6. Forecasting NFT coin prices using machine learning: Insights into feature significance and portfolio strategies. (2023). Sadorsky, Perry ; Henriques, Irene.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000996.

    Full description at Econpapers || Download paper

  7. Forecasting the real prices of crude oil: What is the role of parameter instability?. (2023). Wang, Yudong ; Hao, Xianfeng.
    In: Energy Economics.
    RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006120.

    Full description at Econpapers || Download paper

  8. Penalized time-varying model averaging. (2023). Hong, Yongmiao ; Zhang, Xinyu ; Wang, Shouyang ; Sun, Yuying.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:235:y:2023:i:2:p:1355-1377.

    Full description at Econpapers || Download paper

  9. Time series analysis of COVID-19 infection curve: A change-point perspective. (2023). Shao, Xiaofeng ; Zhao, Zifeng ; Jiang, Feiyu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:232:y:2023:i:1:p:1-17.

    Full description at Econpapers || Download paper

  10. .

    Full description at Econpapers || Download paper

  11. Forgetting approaches to improve forecasting. (2022). Rodrigues, Paulo ; Hill, Robert A.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:7:p:1356-1371.

    Full description at Econpapers || Download paper

  12. Optimal forecast under structural breaks. (2022). Ullah, Aman ; Amanullah, ; Parsaeian, Shahnaz ; Lee, Taehwy.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:37:y:2022:i:5:p:965-987.

    Full description at Econpapers || Download paper

  13. Forecasting under Structural Breaks Using Improved Weighted Estimation. (2022). Ullah, Aman ; Amanullah, ; Parsaeian, Shahnaz ; Lee, Tae-Hwy.
    In: Working Papers.
    RePEc:ucr:wpaper:202210.

    Full description at Econpapers || Download paper

  14. Optimal Forecast under Structural Breaks. (2022). Parsaeian, Shahnaz ; Ullah, Aman ; Amanullah, ; Lee, Tae-Hwy.
    In: Working Papers.
    RePEc:ucr:wpaper:202208.

    Full description at Econpapers || Download paper

  15. Forgetting Approaches to Improve Forecasting. (2022). Hill, Robert.
    In: Working Papers.
    RePEc:ptu:wpaper:w202208.

    Full description at Econpapers || Download paper

  16. Forecasting Bitcoin price direction with random forests: How important are interest rates, inflation, and market volatility?. (2022). Perry, Sadorsky ; Abul, Basher Syed.
    In: MPRA Paper.
    RePEc:pra:mprapa:113293.

    Full description at Econpapers || Download paper

  17. Forecasting under Structural Breaks Using Improved Weighted Estimation. (2022). Ullah, Aman ; Amanullah, ; Parsaeian, Shahnaz ; Lee, Tae-Hwy.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:202212.

    Full description at Econpapers || Download paper

  18. Optimal Forecast under Structural Breaks. (2022). Parsaeian, Shahnaz ; Ullah, Aman ; Amanullah, ; Lee, Tae-Hwy.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:202207.

    Full description at Econpapers || Download paper

  19. Forecasting the real prices of crude oil: A robust weighted least squares approach. (2022). Hao, Xianfeng ; Wang, Yudong.
    In: Energy Economics.
    RePEc:eee:eneeco:v:116:y:2022:i:c:s0140988322005345.

    Full description at Econpapers || Download paper

  20. Technology shocks and stock returns: A long-term perspective. (2022). Narayan, Paresh Kumar ; Sharma, Susan Sunila.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:68:y:2022:i:c:p:67-83.

    Full description at Econpapers || Download paper

  21. Stock return prediction: Stacking a variety of models. (2022). Cheng, Tingting ; Bo, Albert.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:67:y:2022:i:c:p:288-317.

    Full description at Econpapers || Download paper

  22. Testing for episodic predictability in stock returns. (2022). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Georgiev, Iliyan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:227:y:2022:i:1:p:85-113.

    Full description at Econpapers || Download paper

  23. Forecasting Under Structural Breaks Using Improved Weighted Estimation. (2022). Parsaeian, Shahnaz ; Ullah, Aman ; Lee, Taehwy.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:84:y:2022:i:6:p:1485-1501.

    Full description at Econpapers || Download paper

  24. .

    Full description at Econpapers || Download paper

  25. Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets. (2021). Gulzar, Saiqb ; Qarni, Muhammad Owais.
    In: Financial Innovation.
    RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00233-5.

    Full description at Econpapers || Download paper

  26. Forecasting benchmarks of long-term stock returns via machine learning. (2021). Scholz, Michael ; Nielsen, Jens Perch ; Mousavi, Parastoo ; Kyriakou, Ioannis.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-019-03338-4.

    Full description at Econpapers || Download paper

  27. Data snooping in equity premium prediction. (2021). Wendt, Viktoria-Sophie ; Neuhierl, Andreas ; Drobetz, Wolfgang ; Dichtl, Hubert.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:1:p:72-94.

    Full description at Econpapers || Download paper

  28. Forecasting stock returns: A time-dependent weighted least squares approach. (2021). Wang, Yudong ; Wu, Chongfeng ; Hao, Xianfeng.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:53:y:2021:i:c:s1386418120300379.

    Full description at Econpapers || Download paper

  29. Do financial variables help predict the conditional distribution of the market portfolio?. (2021). Zamenjani, Azam Shamsi.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:62:y:2021:i:c:p:327-345.

    Full description at Econpapers || Download paper

  30. .

    Full description at Econpapers || Download paper

  31. .

    Full description at Econpapers || Download paper

  32. Corn Cash Price Forecasting. (2020). Xu, Xiaojie.
    In: American Journal of Agricultural Economics.
    RePEc:wly:ajagec:v:102:y:2020:i:4:p:1297-1320.

    Full description at Econpapers || Download paper

  33. Intra-EMU and non-EMU, EU stock markets’ return spillover: evidence from ESDC. (2020). Gulzar, Saqib ; Qarni, Muhammad Owais.
    In: Empirica.
    RePEc:kap:empiri:v:47:y:2020:i:3:d:10.1007_s10663-019-09437-6.

    Full description at Econpapers || Download paper

  34. On the performance of volatility-managed portfolios. (2020). Yan, Xuemin ; Wang, Feifei ; Odoherty, Michael S ; Cederburg, Scott.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:138:y:2020:i:1:p:95-117.

    Full description at Econpapers || Download paper

  35. Does modeling a structural break improve forecast accuracy?. (2020). Pick, Andreas ; Boot, Tom.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:215:y:2020:i:1:p:35-59.

    Full description at Econpapers || Download paper

  36. Testing for Episodic Predictability in Stock Returns. (2019). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M ; Georgiev, Iliyan.
    In: Working Papers.
    RePEc:ptu:wpaper:w201906.

    Full description at Econpapers || Download paper

  37. Fundamental Factors Affecting the MOEX Russia Index: Retrospective Analysis. (2019). Saltykova, Anastasiia ; Lozinskaia, Agata.
    In: MPRA Paper.
    RePEc:pra:mprapa:97308.

    Full description at Econpapers || Download paper

  38. Exploring the effect of ICT and tourism on economic growth: a study of Israel. (2019). Stauvermann, Peter ; Shahzad, Syed Jawad Hussain ; Kumar, Ronald ; Hussain, Syed Jawad.
    In: Economic Change and Restructuring.
    RePEc:kap:ecopln:v:52:y:2019:i:3:d:10.1007_s10644-018-9227-8.

    Full description at Econpapers || Download paper

  39. Fundamental Factors Affecting The Moex Russia Index: Structural Break Detection In A Long-Term Time Series. (2019). Saltykova, Anastasiia ; Lozinskaia, Agata.
    In: HSE Working papers.
    RePEc:hig:wpaper:77/fe/2019.

    Full description at Econpapers || Download paper

  40. Machine Learning for Forecasting Excess Stock Returns – The Five-Year-View. (2019). Scholz, Michael ; Nielsen, Jens Perch ; Mousavi, Parastoo ; Kyriakou, Ioannis.
    In: Graz Economics Papers.
    RePEc:grz:wpaper:2019-06.

    Full description at Econpapers || Download paper

  41. Bayesian Analysis of Coefficient Instability in Dynamic Regressions. (2019). Taboga, Marco ; Ciapanna, Emanuela.
    In: Econometrics.
    RePEc:gam:jecnmx:v:7:y:2019:i:3:p:29-:d:243958.

    Full description at Econpapers || Download paper

  42. Time-varying parameter energy demand functions: Benchmarking state-space methods against rolling-regressions. (2019). Alptekin, Aynur ; Wang, Dong ; Chen, Xiaoqi ; Broadstock, David C.
    In: Energy Economics.
    RePEc:eee:eneeco:v:82:y:2019:i:c:p:26-41.

    Full description at Econpapers || Download paper

  43. Variable selection in panel models with breaks. (2019). Zhu, Yinchu ; Timmermann, Allan ; Smith, Simon C.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:1:p:323-344.

    Full description at Econpapers || Download paper

  44. Generalized high-dimensional trace regression via nuclear norm regularization. (2019). Fan, Jianqing ; Gong, Wenyan ; Zhu, Ziwei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:1:p:177-202.

    Full description at Econpapers || Download paper

  45. Can public debt stimulate public investment and economic growth in South Africa?. (2018). Masoga, Marius Mamokgaetji ; Ncanywa, Thobeka .
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:v:6:y:2018:i:1:p:1516483.

    Full description at Econpapers || Download paper

  46. Can oil prices help predict US stock market returns? Evidence using a dynamic model averaging (DMA) approach. (2018). Naser, Hanan ; Alaali, Fatema.
    In: Empirical Economics.
    RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1323-5.

    Full description at Econpapers || Download paper

  47. Stock return predictability and model instability: Evidence from mainland China and Hong Kong. (2018). Hong, Hui ; Ryan, James ; Obrien, Fergal ; Chen, Naiwei.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:68:y:2018:i:c:p:132-142.

    Full description at Econpapers || Download paper

  48. Price and income elasticities of electricity demand: Evidence from Jamaica. (2018). Campbell, Alrick.
    In: Energy Economics.
    RePEc:eee:eneeco:v:69:y:2018:i:c:p:19-32.

    Full description at Econpapers || Download paper

  49. Market timing over the business cycle. (2018). Sander, Magnus .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:46:y:2018:i:c:p:130-145.

    Full description at Econpapers || Download paper

  50. The macroeconomic and fiscal implications of inflation forecast errors. (2018). Tavlas, George ; Gibson, Heather ; Hall, Stephen G ; Dellas, Harris.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:93:y:2018:i:c:p:203-217.

    Full description at Econpapers || Download paper

  51. Forecasting in the presence of in and out of sample breaks. (2018). Perron, Pierre ; Xu, Jiawen.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2018-014.

    Full description at Econpapers || Download paper

  52. Improving equity premium forecasts by incorporating structural break uncertainty. (2018). Tian, Jing ; Zhou, Qing.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:58:y:2018:i:s1:p:619-656.

    Full description at Econpapers || Download paper

  53. Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp1890.

    Full description at Econpapers || Download paper

  54. Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei G.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp1887.

    Full description at Econpapers || Download paper

  55. Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro.
    In: Papers.
    RePEc:arx:papers:1803.06738.

    Full description at Econpapers || Download paper

  56. Time-varying parameters: New test tailored to applications in finance and macroeconomics. (2018). Davidson, Russell ; Gronborg, Niels S.
    In: CREATES Research Papers.
    RePEc:aah:create:2018-22.

    Full description at Econpapers || Download paper

  57. .

    Full description at Econpapers || Download paper

  58. Regional Labor Market Adjustment in the United States: Trend and Cycle. (2017). Loungani, Prakash ; Furceri, Davide ; Dao, Mai.
    In: The Review of Economics and Statistics.
    RePEc:tpr:restat:v:99:y:2017:i:2:p:243-257.

    Full description at Econpapers || Download paper

  59. Short-run price forecast performance of individual and composite models for 496 corn cash markets. (2017). Xu, Xiaojie.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:44:y:2017:i:14:p:2593-2620.

    Full description at Econpapers || Download paper

  60. Investigation of institutional changes in the UK housing market using structural break tests and time-varying parameter models. (2017). Hudson, Robert ; Zhang, Hanxiong ; Manahov, Viktor ; Metcalf, Hugh.
    In: Empirical Economics.
    RePEc:spr:empeco:v:53:y:2017:i:2:d:10.1007_s00181-016-1127-z.

    Full description at Econpapers || Download paper

  61. Time-Varying Window Length for Correlation Forecasts. (2017). McCurdy, Thomas ; Jeon, Yoontae.
    In: Econometrics.
    RePEc:gam:jecnmx:v:5:y:2017:i:4:p:54-:d:122391.

    Full description at Econpapers || Download paper

  62. Density forecast evaluation in unstable environments. (2017). Gonzalez-Rivera, Gloria ; Sun, Yingying.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:2:p:416-432.

    Full description at Econpapers || Download paper

  63. Forecasting in the presence of in and out of sample breaks. (2017). Xu, Jiawen.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2017-004.

    Full description at Econpapers || Download paper

  64. Density Forecast Evaluation in Unstable Environments. (2016). Gonzalez-Rivera, Gloria ; Sun, Yingying.
    In: Working Papers.
    RePEc:ucr:wpaper:201606.

    Full description at Econpapers || Download paper

  65. FORECAST COMBINATIONS FOR REALIZED VOLATILITY IN PRESENCE OF STRUCTURAL BREAKS. (2016). De Gaetano, Davide.
    In: Departmental Working Papers of Economics - University 'Roma Tre'.
    RePEc:rtr:wpaper:0208.

    Full description at Econpapers || Download paper

  66. Residual-augmented IVX predictive regression. (2016). Rodrigues, Paulo ; Demetrescu, Matei.
    In: Working Papers.
    RePEc:ptu:wpaper:w201605.

    Full description at Econpapers || Download paper

  67. Equity premium prediction: Are economic and technical indicators unstable?. (2016). Menkhoff, Lukas ; Baetje, Fabian .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:4:p:1193-1207.

    Full description at Econpapers || Download paper

  68. Getting the most out of macroeconomic information for predicting excess stock returns. (2016). van Dijk, Dick ; Çakmaklı, Cem ; Akmakli, Cem .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:3:p:650-668.

    Full description at Econpapers || Download paper

  69. Real oil prices and the international sign predictability of stock returns. (2016). Pönkä, Harri ; Ponka, Harri .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:17:y:2016:i:c:p:79-87.

    Full description at Econpapers || Download paper

  70. Estimation of heterogeneous panels with structural breaks. (2016). Kao, Chihwa ; Feng, Qu ; Baltagi, Badi.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:191:y:2016:i:1:p:176-195.

    Full description at Econpapers || Download paper

  71. International sign predictability of stock returns: The role of the United States. (2016). Pönkä, Harri ; Nyberg, Henri ; Ponka, Harri .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:58:y:2016:i:c:p:323-338.

    Full description at Econpapers || Download paper

  72. Structural breaks and monetary dynamics: A time series analysis. (2016). El-Shazly, Alaa .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:53:y:2016:i:c:p:133-143.

    Full description at Econpapers || Download paper

  73. Equity Premium Prediction: Are Economic and Technical Indicators Unstable?. (2016). Menkhoff, Lukas ; Baetje, Fabian .
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1552.

    Full description at Econpapers || Download paper

  74. Forecasting in Economics and Finance. (2016). Elliott, Graham ; Timmermann, Allan G.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11354.

    Full description at Econpapers || Download paper

  75. Equity premium prediction: Are economic and technical indicators instable?. (2015). Menkhoff, Lukas ; Baetje, Fabian .
    In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
    RePEc:zbw:vfsc15:113079.

    Full description at Econpapers || Download paper

  76. Equity premium prediction: Are economic and technical indicators instable?. (2015). Menkhoff, Lukas ; Baetje, Fabian .
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1987.

    Full description at Econpapers || Download paper

  77. Regional labor market adjustment in the United States. (2015). Loungani, Prakash ; Furceri, Davide ; Dao, Mai.
    In: 2015 Meeting Papers.
    RePEc:red:sed015:733.

    Full description at Econpapers || Download paper

  78. Real oil prices and the international sign predictability of stock returns. (2015). Pönkä, Harri.
    In: MPRA Paper.
    RePEc:pra:mprapa:68330.

    Full description at Econpapers || Download paper

  79. Can Oil Prices Help Predict US Stock Market Returns: An Evidence Using a DMA Approach. (2015). Naser, Hanan ; Alaali, Fatema.
    In: MPRA Paper.
    RePEc:pra:mprapa:65295.

    Full description at Econpapers || Download paper

  80. Estimation of Heterogeneous Panels with Structural Breaks. (2015). Kao, Chihwa ; Feng, Qu ; Baltagi, Badi.
    In: Center for Policy Research Working Papers.
    RePEc:max:cprwps:179.

    Full description at Econpapers || Download paper

  81. The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:42:y:2015:i:c:p:380-393.

    Full description at Econpapers || Download paper

  82. Structural-break models under mis-specification: Implications for forecasting. (2015). Koo, Bonsoo ; Seo, Myung Hwan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:188:y:2015:i:1:p:166-181.

    Full description at Econpapers || Download paper

  83. Forecasting in the presence of in and out of sample breaks. (2015). Perron, Pierre ; Xu, Jiawen.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2015-012.

    Full description at Econpapers || Download paper

  84. The Canadian Hedge Fund Industry: Performance and Market Timing. (2015). Klein, Peter ; Vedrashko, Alexander ; Schweigert, Isaac ; Purdy, Daryl .
    In: International Review of Finance.
    RePEc:bla:irvfin:v:15:y:2015:i:3:p:283-320.

    Full description at Econpapers || Download paper

  85. International Sign Predictability of Stock Returns: The Role of the United States. (2015). Pönkä, Harri ; Nyberg, Henri.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-20.

    Full description at Econpapers || Download paper

  86. STRATEGIC ASSET ALLOCATION FOR LONG‐TERM INVESTORS: PARAMETER UNCERTAINTY AND PRIOR INFORMATION. (2014). Hoevenaars, Roy ; Schotman, Peter C. ; Tom B. M. Steenkamp, ; Roy P. P. M. Hoevenaars, ; Roderick D. J. Molenaar, .
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:29:y:2014:i:3:p:353-376.

    Full description at Econpapers || Download paper

  87. Inflation And The Subsequent Timing Of The Chinese Stock Market. (2014). O'Brien, Fergal ; Ryan, James ; Hong, Hui.
    In: Asian Academy of Management Journal of Accounting and Finance (AAMJAF).
    RePEc:usm:journl:aamjaf01002_13-35.

    Full description at Econpapers || Download paper

  88. Forecasting in nonstationary environments: What works and what doesnt in reduced-form and structural models. (2014). Rossi, Barbara ; Giacomini, Raffaella.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1476.

    Full description at Econpapers || Download paper

  89. Density Forecast Evaluation in Unstable Environments. (2014). Gonzalez-Rivera, Gloria ; Sun, Yingying.
    In: Working Papers.
    RePEc:ucr:wpaper:201428.

    Full description at Econpapers || Download paper

  90. Regional Labor Market Adjustments in the United States. (2014). Loungani, Prakash ; Furceri, Davide ; Dao, Mai.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2014/211.

    Full description at Econpapers || Download paper

  91. Regional Labor Market Adjustments in the United States and Europe. (2014). Loungani, Prakash ; Furceri, Davide ; Dao, Mai.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2014/026.

    Full description at Econpapers || Download paper

  92. Understanding emerging market equity risk premia: Industries, governance and macroeconomic policy uncertainty. (2014). Donadelli, Michael ; Persha, Lauren .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:30:y:2014:i:c:p:284-309.

    Full description at Econpapers || Download paper

  93. The international business cycle and gold-price fluctuations. (2014). Risse, Marian ; Pierdzioch, Christian ; Rohloff, Sebastian .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:54:y:2014:i:2:p:292-305.

    Full description at Econpapers || Download paper

  94. Forecast combinations under structural break uncertainty. (2014). Tian, Jing ; Anderson, Heather.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:1:p:161-175.

    Full description at Econpapers || Download paper

  95. Realized Volatility Forecast: Structural Breaks, Long Memory, Asymmetry, and Day-of-the-Week Effect. (2014). Yang, KE ; Chen, Langnan.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:14:y:2014:i:3:p:345-392.

    Full description at Econpapers || Download paper

  96. Forecasting in Nonstationary Environments: What Works and What Doesnt in Reduced-Form and Structural Models. (2014). Rossi, Barbara ; Giacomini, Raffaella.
    In: Working Papers.
    RePEc:bge:wpaper:819.

    Full description at Econpapers || Download paper

  97. Model-Free Evaluation of Directional Predictability in Foreign Exchange. (2013). Hong, Yongmiao ; Chung, Jaehun.
    In: Working Papers.
    RePEc:wyi:wpaper:001961.

    Full description at Econpapers || Download paper

  98. Bagging Constrained Equity Premium Predictors. (2013). Medeiros, Marcelo ; Lee, Tae Hwy ; Hillebrand, Eric.
    In: Working Papers.
    RePEc:ucr:wpaper:201421.

    Full description at Econpapers || Download paper

  99. Forecasting Eurozone real-estate returns. (2013). Pierdzioch, Christian ; Hartmann, Daniel .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:23:y:2013:i:14:p:1185-1196.

    Full description at Econpapers || Download paper

  100. Forecasting yield spreads under crisis-induced multiple breakpoints. (2013). Guidolin, Massimo ; Grazzini, Caterina Forti.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:20:y:2013:i:18:p:1656-1664.

    Full description at Econpapers || Download paper

  101. Forecasting in macroeconomics. (2013). Rossi, Barbara ; Giacomini, Raffaella.
    In: Chapters.
    RePEc:elg:eechap:14327_17.

    Full description at Econpapers || Download paper

  102. Fuzzy logic, trading uncertainty and technical trading. (2013). Gradojevic, Nikola ; Gencay, Ramazan ; Genay, Ramazan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:578-586.

    Full description at Econpapers || Download paper

  103. Histogram-based prediction of directional price relatives. (2013). Roch, Oriol.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:10:y:2013:i:3:p:110-115.

    Full description at Econpapers || Download paper

  104. Forecasting Stock Returns. (2013). Rapach, David ; Zhou, Guofu.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-328.

    Full description at Econpapers || Download paper

  105. Advances in Forecasting under Instability. (2013). Rossi, Barbara.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-1203.

    Full description at Econpapers || Download paper

  106. Multi–regime models for nonlinear nonstationary time series. (2012). Protopapas, Mattheos ; Battaglia, Francesco.
    In: Computational Statistics.
    RePEc:spr:compst:v:27:y:2012:i:2:p:319-341.

    Full description at Econpapers || Download paper

  107. Let´s do it again: bagging equity premium predictors. (2012). Medeiros, Marcelo ; Lee, Tae Hwy ; Hillebrand, Eric.
    In: Textos para discussão.
    RePEc:rio:texdis:604.

    Full description at Econpapers || Download paper

  108. Structural Breaks and Predictive Regressions Models of South African Equity Premium. (2012). GUPTA, RANGAN ; Aye, Goodness C. ; Modise, Mampho P..
    In: Working Papers.
    RePEc:pre:wpaper:201209.

    Full description at Econpapers || Download paper

  109. Das Halteproblem bei Strukturbrüchen in Finanzmarktzeitreihen. (2012). Czinkota, Thomas .
    In: MPRA Paper.
    RePEc:pra:mprapa:37072.

    Full description at Econpapers || Download paper

  110. Nonlinearity and smoothing in venture capital performance data. (2012). Wongwachara, Warapong ; McKenzie, Michael ; Satchell, Stephen.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:5:p:782-795.

    Full description at Econpapers || Download paper

  111. Stock return predictability and stationarity of dividend yield. (2012). Chang, Kuang-Liang.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00624.

    Full description at Econpapers || Download paper

  112. Lets Do It Again: Bagging Equity Premium Predictors. (2012). Medeiros, Marcelo ; Lee, Tae Hwy ; Hillebrand, Eric.
    In: CREATES Research Papers.
    RePEc:aah:create:2012-41.

    Full description at Econpapers || Download paper

  113. An Alternative Bayesian Approach to Structural Breaks in Time Series Models. (2011). van Dijk, Dick ; Paap, Richard ; Dick J. C. van Dijk, ; van den Hauwe, Sjoerd .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20110023.

    Full description at Econpapers || Download paper

  114. Regime Changes and Financial Markets. (2011). Timmermann, Allan ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17182.

    Full description at Econpapers || Download paper

  115. Forecasting Under Strucural Break Uncertainty. (2011). Tian, Jing ; Anderson, Heather.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2011-8.

    Full description at Econpapers || Download paper

  116. Near Real-Time Disturbance Detection in Terrestrial Ecosystems Using Satellite Image Time Series: Drought Detection in Somalia. (2011). Zeileis, Achim ; Herold, Martin ; Verbesselt, Jan .
    In: Working Papers.
    RePEc:inn:wpaper:2011-18.

    Full description at Econpapers || Download paper

  117. Time-varying short-horizon predictability. (2011). Henkel, Sam ; Nardari, Federico ; Martin, Spencer J..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:3:p:560-580.

    Full description at Econpapers || Download paper

  118. Inference and prediction in a multiple-structural-break model. (2011). Geweke, John ; Jiang, YU.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:163:y:2011:i:2:p:172-185.

    Full description at Econpapers || Download paper

  119. Advances in Forecasting Under Instability. (2011). Rossi, Barbara.
    In: Working Papers.
    RePEc:duk:dukeec:11-20.

    Full description at Econpapers || Download paper

  120. Regime Changes and Financial Markets. (2011). Timmermann, Allan ; Ang, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8480.

    Full description at Econpapers || Download paper

  121. Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility. (2010). van Dijk, Dick ; Çakmaklı, Cem ; Cakmakli, Cem .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20100115.

    Full description at Econpapers || Download paper

  122. Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights. (2010). Verbeek, Marno ; van Dijk, Herman ; Ravazzolo, Francesco ; Kleijn, Richard ; Hoogerheide, Lennart.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:29:y:2010:i:1-2:p:251-269.

    Full description at Econpapers || Download paper

  123. An examination of the stability of short-run Canadian stock predictability. (2010). Compton, Ryan ; Khan, Syeed .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-10-00018.

    Full description at Econpapers || Download paper

  124. Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights. (2009). Verbeek, Marno ; van Dijk, Herman ; Ravazzolo, Francesco ; Kleijn, Richard ; Hoogerheide, Lennart.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20090061.

    Full description at Econpapers || Download paper

  125. Negative earnings, positive earnings and stock return predictability: An empirical examination of market timing. (2009). Giannetti, Antoine ; Barnhart, Scott W..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:1:p:70-86.

    Full description at Econpapers || Download paper

  126. Forecast accuracy and economic gains from Bayesian model averaging using time varying weight. (2009). Verbeek, Marno ; van Dijk, Herman ; Ravazzolo, Francesco ; Kleijn, Richard ; Hoogerheide, Lennart.
    In: Working Paper.
    RePEc:bno:worpap:2009_10.

    Full description at Econpapers || Download paper

  127. Learning, forecasting and structural breaks. (2008). Maheu, John ; Gordon, Stephen.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:23:y:2008:i:5:p:553-583.

    Full description at Econpapers || Download paper

  128. Elusive return predictability. (2008). Timmermann, Allan.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:24:y:2008:i:1:p:1-18.

    Full description at Econpapers || Download paper

  129. Economic and financial crises and the predictability of U.S. stock returns. (2008). Pierdzioch, Christian ; Kempa, Bernd ; Hartmann, Daniel.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:3:p:468-480.

    Full description at Econpapers || Download paper

  130. Maximizing equity market sector predictability in a Bayesian time-varying parameter model. (2008). Sakoulis, Georgios ; Johnson, Lorne D..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2008:i:6:p:3083-3106.

    Full description at Econpapers || Download paper

  131. Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study. (2008). Zeng, Ning ; Conrad, Christian ; Karanasos, Menelaos.
    In: Working Papers.
    RePEc:awi:wpaper:0472.

    Full description at Econpapers || Download paper

  132. How Much Can Outlook Forecasts be Improved? An Application to the U.S. Hog Market. (2008). Irwin, Scott ; Garcia, Philip ; Colino, Evelyn V..
    In: 2008 Conference, April 21-22, 2008, St. Louis, Missouri.
    RePEc:ags:nccest:37620.

    Full description at Econpapers || Download paper

  133. How useful are historical data for forecasting the long-run equity return distribution?. (2007). McCurdy, Tom ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-293.

    Full description at Econpapers || Download paper

  134. Learning, Forecasting and Structural Breaks. (2007). Maheu, John ; Gordon, Stephen.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-284.

    Full description at Econpapers || Download paper

  135. How useful are historical data for forecasting the long-run equity return distribution?. (2007). McCurdy, Tom ; Maheu, John.
    In: Working Paper series.
    RePEc:rim:rimwps:19_07.

    Full description at Econpapers || Download paper

  136. How useful are historical data for forecasting the long-run equity return distribution?. (2007). .
    In: Working Paper series.
    RePEc:rim:rimwps:19-07.

    Full description at Econpapers || Download paper

  137. Forecasting the recent behavior of US business fixed investment spending: an analysis of competing models This is a significantly revised version of our previous paper, Forecasting US Business Fixed I. (2007). Wohar, Mark ; Rapach, David E..
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:26:y:2007:i:1:p:33-51.

    Full description at Econpapers || Download paper

  138. Model-free evaluation of directional predictability in foreign exchange markets. (2007). Hong, Yongmiao ; Chung, Jaehun.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:22:y:2007:i:5:p:855-889.

    Full description at Econpapers || Download paper

  139. The short term predictive ability of earnings-price ratios: The recent evidence (1994-2003). (2007). Giannetti, A..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:47:y:2007:i:1:p:26-39.

    Full description at Econpapers || Download paper

  140. Confidence sets for the date of a single break in linear time series regressions. (2007). Elliott, Graham ; Muller, Ulrich K..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:1196-1218.

    Full description at Econpapers || Download paper

  141. Learning, structural instability and present value calculations. (2006). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4756.

    Full description at Econpapers || Download paper

  142. Learning, structural instability and present value calculations. (2006). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:529.

    Full description at Econpapers || Download paper

  143. Practitioners Corner. (2006). Canopius, Adam.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:4:y:2006:i:2:p:346-351.

    Full description at Econpapers || Download paper

  144. Combining forecasts from nested models. (2006). McCracken, Michael ; Clark, Todd.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp06-02.

    Full description at Econpapers || Download paper

  145. Forecasting Stock Price Changes: Is it Possible?. (2006). Sosvilla-Rivero, Simon ; Rodriguez, Pedro.
    In: Working Papers.
    RePEc:fda:fdaddt:2006-22.

    Full description at Econpapers || Download paper

  146. Industry return predictability, timing and profitability. (2006). Yao, Juan ; Alles, Lakshman.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:16:y:2006:i:2:p:122-141.

    Full description at Econpapers || Download paper

  147. Instability of return prediction models. (2006). Timmermann, Allan ; Paye, Bradley S..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315.

    Full description at Econpapers || Download paper

  148. Bagging binary and quantile predictors for time series. (2006). Lee, Tae Hwy ; Yang, Yang.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:135:y:2006:i:1-2:p:465-497.

    Full description at Econpapers || Download paper

  149. Nonparametric retrospection and monitoring of predictability of financial returns. (2006). Anatolyev, Stanislav.
    In: Working Papers.
    RePEc:cfr:cefirw:w0071.

    Full description at Econpapers || Download paper

  150. Learning, Structural Instability and Present Value Calculations. (2006). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0602.

    Full description at Econpapers || Download paper

  151. Nonparametric retrospection and monitoring of predictability of financial returns. (2006). Anatolyev, Stanislav.
    In: Working Papers.
    RePEc:abo:neswpt:w0071.

    Full description at Econpapers || Download paper

  152. Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information. (2005). GAO, Jiti ; Yao, Juan ; Alles, Lakshman.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:13:y:2005:i:2:p:225-245.

    Full description at Econpapers || Download paper

  153. Beware of breaks in exchange rates: Evidence from European transition countries. (2005). Kočenda, Evžen.
    In: Economic Systems.
    RePEc:eee:ecosys:v:29:y:2005:i:3:p:307-324.

    Full description at Econpapers || Download paper

  154. Small sample properties of forecasts from autoregressive models under structural breaks. (2005). Timmermann, Allan ; Pesaran, M.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:129:y:2005:i:1-2:p:183-217.

    Full description at Econpapers || Download paper

  155. The power of tests of predictive ability in the presence of structural breaks. (2005). McCracken, Michael ; Clark, Todd.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:124:y:2005:i:1:p:1-31.

    Full description at Econpapers || Download paper

  156. Forecasting Time Series Subject to Multiple Structural Breaks. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp1196.

    Full description at Econpapers || Download paper

  157. Real Time Econometrics. (2004). Timmermann, Allan ; Pesaran, M.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp1108.

    Full description at Econpapers || Download paper

  158. Improving forecast accuracy by combining recursive and rolling forecasts. (2004). McCracken, Michael ; Clark, Todd.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp04-10.

    Full description at Econpapers || Download paper

  159. How costly is it to ignore breaks when forecasting the direction of a time series?. (2004). Timmermann, Allan ; Pesaran, M.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:20:y:2004:i:3:p:411-425.

    Full description at Econpapers || Download paper

  160. Efficient market hypothesis and forecasting. (2004). Timmermann, Allan ; Granger, Clive.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:20:y:2004:i:1:p:15-27.

    Full description at Econpapers || Download paper

  161. Bagging Binary Predictors for Time Series. (2004). Lee, Tae Hwy ; Yang, Yang.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:512.

    Full description at Econpapers || Download paper

  162. Structurally Sound Dynamic Index Futures Hedging. (2004). McGlenchy, Patrick ; Kofman, Paul .
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:80.

    Full description at Econpapers || Download paper

  163. Forecasting Time Series Subject to Multiple Structural Breaks. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1237.

    Full description at Econpapers || Download paper

  164. Real Time Econometrics. (2004). Timmermann, Allan ; Pesaran, M.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1169.

    Full description at Econpapers || Download paper

  165. ‘Forecasting Time Series Subject to Multiple Structural Breaks’. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0433.

    Full description at Econpapers || Download paper

  166. ‘Real Time Econometrics’. (2004). Timmermann, Allan ; Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0432.

    Full description at Econpapers || Download paper

  167. Long-horizon equity return predictability: some new evidence for the United Kingdom. (2004). wetherilt, anne ; Wells, Simon.
    In: Bank of England working papers.
    RePEc:boe:boeewp:244.

    Full description at Econpapers || Download paper

  168. Model Uncertainty, Thick Modelling and the Predictability of Stock Returns. (2003). Favero, Carlo ; Aiolfi, Marco .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3997.

    Full description at Econpapers || Download paper

  169. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, M.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_875.

    Full description at Econpapers || Download paper

  170. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0306.

    Full description at Econpapers || Download paper

  171. Forecast-based model selection in the presence of structural breaks. (2002). McCracken, Michael ; Clark, Todd.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp02-05.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Bai, J ; Perron, P Computation and analysis of multiple structural change models. 2001 Journal of Applied Econometrics. -
    Paper not yet in RePEc: Add citation now

  2. Bai, J ; Perron, P Estimating and testing linear models with multiple structural changes. 1998 Econometrica. 66 47-78

  3. Bossaerts, P ; Hillion, P Implementing statistical criteria to select return forecasting models: what do we learn?. 1999 Review of Financial Studies. 12 405-428

  4. Brandt, M.W Estimating portfolio and consumption choice: a conditional Euler equations approach. 1999 Journal of Finance. 54 1609-1646

  5. Breen, W ; Glosten, L.R ; Jagannathan, R The economic significance of predictable variations in stock index returns. 1989 Journal of Finance. 44 1177-1189

  6. Brennan, M ; Schwarz, E ; Lagnado, R Strategic asset allocation. 1997 Journal of Economic Dynamics & Control. 21 1377-1403

  7. Brown, R.L ; Durbin, J ; Evans, J.M Techniques for testing the constancy of regression relationships over time. 1975 Journal of the Royal Statistical Society. Series B. 37 149-192
    Paper not yet in RePEc: Add citation now

  8. Campbell, J.Y Stock returns and the term structure. 1987 Journal of Financial Economics. 18 373-399

  9. Cooley, T.F ; Prescott, E.C Efficient estimation in the presence of stochastic parameter variation. 1976 Econometrica. 44 167-184

  10. Cooper, M., Gulen, H., 1999. Endogenizing Investor Uncertainty in Out-of-Sample Forecasts of Stock Returns. Manuscript, Purdue University.
    Paper not yet in RePEc: Add citation now

  11. Fama, E.F ; French, K.R Business conditions and expected returns on stocks and bonds. 1989 Journal of Financial Economics. 25 23-49

  12. Fama, E.F ; French, K.R Dividend yields and expected stock returns. 1988 Journal of Financial Economics. 22 3-25

  13. Fama, E.F ; MacBeth, J Risk, return, and equilibrium: empirical tests. 1973 Journal of Political Economy. 71 607-636

  14. Ferson, W.E Changes in expected security returns, risk, and the level of interest rates. 1989 Journal of Finance. 44 1191-1217

  15. Harvey, A.C Forecasting, Structural Time Series Models and the Kalman Filter. 1989 Cambridge Univ. Press: Cambridge
    Paper not yet in RePEc: Add citation now

  16. Henriksson, R.D ; Merton, R.C On market timing and investment performance: II. Statistical procedures for evaluating forecasting skills. 1981 Journal of Business. 54 513-533

  17. Kandel, S ; Stambaugh, R.F Expectations and volatility of consumption and asset returns. 1990 Review of Financial Studies. 8 207-232

  18. Kandel, S ; Stambaugh, R.F On the predictability of stock returns: an asset allocation perspective. 1996 Journal of Finance. 51 385-424

  19. Perez-Quiros, G ; Timmermann, A Firm size and cyclical variations in stock returns. 2000 Journal of Finance. 55 1229-1262

  20. Pesaran, M.H ; Timmermann, A A recursive modelling approach to predicting U.K. stock returns. 2000 The Economic Journal. 110 159-191

  21. Pesaran, M.H ; Timmermann, A A simple non-parametric test of predictive performance. 1992 Journal of Business and Economic Statistics. 10 461-465
    Paper not yet in RePEc: Add citation now

  22. Pesaran, M.H ; Timmermann, A Predictability of stock returns: robustness and economic significance. 1995 Journal of Finance. 50 1201-1228

  23. Pesaran, M.H., Timmermann, A., 2001. How Costly is it to Ignore Breaks When Forecasting the Direction of a Time Series? Manuscript, University of California, San Diego.
    Paper not yet in RePEc: Add citation now
  24. Pesaran, M.H., Timmermann, A., 2002. Model Instability and Choice of Observation Window. Manuscript, University of California, San Diego.
    Paper not yet in RePEc: Add citation now
  25. Rosenberg, B Random coefficient models: the analysis of a cross-section of time series by stochastically convergent parameter regression. 1973 Annals of Economic and Social Measurement. 2 399-428
    Paper not yet in RePEc: Add citation now

  26. Stock, J.H ; Watson, M.W Evidence on structural instability in macroeconomic time series relations. 1996 Journal of Business & Economic Statistics. 14 11-30

  27. Sullivan, R ; Timmermann, A ; White, H Data-snooping, technical trading rule performance, and the bootstrap. 1999 Journal of Finance. 54 1647-1692

  28. Whitelaw, R.F Time variations and covariations in the expectation and volatility of stock market returns. 1994 Journal of Finance. 49 515-541

Cocites

Documents in RePEc which have cited the same bibliography

  1. Volatility and dynamic conditional correlations of worldwide emerging and frontier markets. (2014). Lyócsa, Štefan ; Baumohl, Eduard.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:38:y:2014:i:c:p:175-183.

    Full description at Econpapers || Download paper

  2. Do Weak Institutions Prolong Crises? On the Identification, Characteristics, and Duration of Declines during Economic Slumps. (2014). Szirmai, Adam ; Bluhm, Richard ; de Crombrugghe, Denis.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4594.

    Full description at Econpapers || Download paper

  3. Likelihood-Based Confidence Sets for the Timing of Structural Breaks. (2013). Morley, James ; Eo, Yunjong.
    In: Discussion Papers.
    RePEc:swe:wpaper:2013-12.

    Full description at Econpapers || Download paper

  4. Futures Trading and the Excess Comovement of Commodity Prices. (2013). Sévi, Benoît ; LE PEN, Yannick ; Sevi, Benoit.
    In: AMSE Working Papers.
    RePEc:aim:wpaimx:1301.

    Full description at Econpapers || Download paper

  5. The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach. (2011). Kühl, Michael ; Beckmann, Joscha ; Belke, Ansgar ; Kuhl, Michael.
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:147:y:2011:i:1:p:11-40.

    Full description at Econpapers || Download paper

  6. Non-parametric tests of real exchange rates in the post-Bretton Woods era. (2010). Ahking, Francis.
    In: Empirical Economics.
    RePEc:spr:empeco:v:39:y:2010:i:2:p:439-456.

    Full description at Econpapers || Download paper

  7. Did the euro give us a break in inflation?. (2010). Shiamptanis, Christos.
    In: Empirical Economics.
    RePEc:spr:empeco:v:39:y:2010:i:2:p:395-411.

    Full description at Econpapers || Download paper

  8. Forecasting Random Walks Under Drift Instability. (2008). Pesaran, M ; Pick, Andreas.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0814.

    Full description at Econpapers || Download paper

  9. Prior Elicitation in Multiple Change-point Models. (2007). Potter, Simon ; Koop, Gary.
    In: Working Paper series.
    RePEc:rim:rimwps:17_07.

    Full description at Econpapers || Download paper

  10. Inflation Persistence under Semi-Fixed Exchange Rate Regimes: The European Evidence 1974–1998. (2005). Kool, Clemens ; Lammertsma, Alex.
    In: Open Economies Review.
    RePEc:kap:openec:v:16:y:2005:i:1:p:51-76.

    Full description at Econpapers || Download paper

  11. Inflation and Relative Price Dispersion in Canada: An Empirical Assessment. (2005). Binette, Andre ; Martel, Sylvain.
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-28.

    Full description at Econpapers || Download paper

  12. Testing for Long Run Neutrality of Money in Mexico. (2004). Wallace, Frederick ; Shelley, Gary L..
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0402003.

    Full description at Econpapers || Download paper

  13. Mind the Break! Accounting for Changing Patterns of Growth during Transition. (2004). Tichit, Ariane ; Fidrmuc, Jan.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2004-643.

    Full description at Econpapers || Download paper

  14. Growth Accelerations. (2004). Rodrik, Dani ; Pritchett, Lant ; Hausmann, Ricardo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10566.

    Full description at Econpapers || Download paper

  15. From Hindu Growth to Productivity Surge: The Mystery of the Indian Growth Transition. (2004). Subramanian, Arvind ; Rodrik, Dani.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10376.

    Full description at Econpapers || Download paper

  16. Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity. (2004). Prodan, Ruxandra.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:90.

    Full description at Econpapers || Download paper

  17. Shifts and Twists in the Relative Productivity of Skilled Labor: Reconciling Accelerated SBTC with the Productivity Slowdown. (2004). Marey, Philip ; Dupuy, Arnaud.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:118.

    Full description at Econpapers || Download paper

  18. International Evidence on Monetary Neutrality Under Broken Trend Stationary Models. (2004). Noriega, Antonio ; Soria, L. M. ; Velazquez, R..
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:57.

    Full description at Econpapers || Download paper

  19. A range unit root test. (2004). Escribano, Alvaro ; Garcia, Ana ; Aparicio, Felipe M..
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws041104.

    Full description at Econpapers || Download paper

  20. Testing for hysteresis in unemployment in OECD countries. New evidence using stationarity panel tests with breaks†. (2004). Tamarit, Cecilio ; Carrion-i-Silvestre, Josep ; Camarero, Mariam.
    In: Economic Working Papers at Centro de Estudios Andaluces.
    RePEc:cea:doctra:e2004_40.

    Full description at Econpapers || Download paper

  21. A Forecasting Model for Inventory Investments in Canada. (2004). Kichian, Maral ; Chacra, Marwan.
    In: Staff Working Papers.
    RePEc:bca:bocawp:04-39.

    Full description at Econpapers || Download paper

  22. Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation. (2004). Fujii, Eiji ; Bailliu, Jeannine.
    In: Staff Working Papers.
    RePEc:bca:bocawp:04-21.

    Full description at Econpapers || Download paper

  23. Testing for hysteresis in unemployment in OECD countries. New evidence using stationarity panel tests with breaks. (2004). Tamarit, Cecilio ; Carrion-i-Silvestre, Josep ; Camarero, Mariam.
    In: Working Papers in Economics.
    RePEc:bar:bedcje:2004119.

    Full description at Econpapers || Download paper

  24. The Fall in British Electricity Prices: Market Rules, Market Structure, or Both?. (2003). Fabra, Natalia ; Toro, Juan.
    In: Industrial Organization.
    RePEc:wpa:wuwpio:0309001.

    Full description at Econpapers || Download paper

  25. Least Squares Estimation and Tests of Breaks in Mean and Variance under Misspecification. (2003). Pitarakis, Jean-Yves.
    In: Econometrics.
    RePEc:wpa:wuwpem:0312004.

    Full description at Econpapers || Download paper

  26. Computation and analysis of multiple structural change models. (2003). Perron, Pierre ; Bai, Jushan.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:18:y:2003:i:1:p:1-22.

    Full description at Econpapers || Download paper

  27. An Intraday Pricing Model of Foreign Exchange Markets. (2003). Romeu, Rafael.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2003/115.

    Full description at Econpapers || Download paper

  28. Bayesian Evidence on the Structure of Unemployment. (2003). Summers, Peter.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2003n03.

    Full description at Econpapers || Download paper

  29. Productivity shocks and the unemployment rate. (2003). Trehan, Bharat.
    In: Economic Review.
    RePEc:fip:fedfer:y:2003:p:13-27.

    Full description at Econpapers || Download paper

  30. Range unit root tests. (2003). Escribano, Alvaro ; Garcia, Ana ; Aparicio, Felipe M..
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws031126.

    Full description at Econpapers || Download paper

  31. Measuring trend output: how useful are the Great Ratios?. (2003). Temple, Jonathan ; Cliff L. F. Attfield, .
    In: Bristol Economics Discussion Papers.
    RePEc:bri:uobdis:03/555.

    Full description at Econpapers || Download paper

  32. The Canadian Phillips Curve and Regime Shifting. (2003). Demers, Frederick.
    In: Staff Working Papers.
    RePEc:bca:bocawp:03-32.

    Full description at Econpapers || Download paper

  33. The unemployment structure of the US States. (2002). Montañés, Antonio ; Lanaspa, Luis ; Clemente Lopez, Jesus.
    In: ERSA conference papers.
    RePEc:wiw:wiwrsa:ersa02p081.

    Full description at Econpapers || Download paper

  34. Some Implications of the Zero Lower Bound on Interest Rates for the Term Structure and Monetary Policy. (2002). Ruge-Murcia, Francisco.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-06.

    Full description at Econpapers || Download paper

  35. Detecting multiple breaks in financial market volatility dynamics. (2002). Ghysels, Eric ; Andreou, Elena.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:579-600.

    Full description at Econpapers || Download paper

  36. Forecast-based model selection in the presence of structural breaks. (2002). McCracken, Michael ; Clark, Todd.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp02-05.

    Full description at Econpapers || Download paper

  37. Detecting Structural Breaks: Exchange Rates in Transition Economies. (2001). Kočenda, Evžen.
    In: Development and Comp Systems.
    RePEc:wpa:wuwpdc:0012009.

    Full description at Econpapers || Download paper

  38. The Effects on Sick Leave of Changes in the Sickness Insurance System. (2001). Persson, Mats ; Henrekson, Magnus.
    In: Seminar Papers.
    RePEc:hhs:iiessp:0697.

    Full description at Econpapers || Download paper

  39. Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests. (2001). Wohar, Mark ; Carlson, John ; Pelz, Eduard A..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0113.

    Full description at Econpapers || Download paper

  40. Are taste and technology parameters stable? a test of deep parameter stability in real business cycle models of the U.S. economy. (2001). Swaine, Daniel G..
    In: Working Papers.
    RePEc:fip:fedbwp:01-05.

    Full description at Econpapers || Download paper

  41. The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity. (2001). Hansen, Bruce.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:15:y:2001:i:4:p:117-128.

    Full description at Econpapers || Download paper

  42. US deficit sustainability: a new approach based on multiple endogenous breaks. (2000). Martin, Gael.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:15:y:2000:i:1:p:83-105.

    Full description at Econpapers || Download paper

  43. Measuring Systematic Monetary Policy. (2000). Jorda, Oscar ; Hoover, Kevin.
    In: Department of Economics.
    RePEc:fth:caldec:00-05.

    Full description at Econpapers || Download paper

  44. How stable is the predictive power of the yield curve? evidence from Germany and the United States. (2000). Rodrigues, Anthony ; Estrella, Arturo ; Schich, Sebastian.
    In: Staff Reports.
    RePEc:fip:fednsr:113.

    Full description at Econpapers || Download paper

  45. Testing for the Cointegration Rank when Some Cointegrating Directions are Shifting. (2000). Gregoir, Stéphane ; Andrade, Philippe ; Bruneau, Catherine.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1605.

    Full description at Econpapers || Download paper

  46. Structural Breaks in the Cointegrated Vector Autoregressive Model. (2000). Hansen, Peter.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1240.

    Full description at Econpapers || Download paper

  47. Long Memory or Structural Change: Testing Method and Empirical Examination. (2000). Hsu, Chih-Chiang .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0867.

    Full description at Econpapers || Download paper

  48. Structural Changes in the Cointegrated Vector Autoregressive Model. (2000). Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2000-20.

    Full description at Econpapers || Download paper

  49. Is the U.S. economy characterized by endogenous growth?: a time-series test of two stochastic growth models. (1999). Swaine, Daniel G..
    In: Working Papers.
    RePEc:fip:fedbwp:99-9.

    Full description at Econpapers || Download paper

  50. Table of Contents, List of Contributors, and Introduction to NONLINEAR TIME SERIES ANALYSIS OF ECONOMIC AND FINANCIAL DATA, Kluwer Academic Press, edited. (1998). Rothman, Philip.
    In: Working Papers.
    RePEc:wop:eacaec:9812.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-04 05:24:16 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.