Bertrand, Candelon; Jameel, Ahmed; Stefan, Straetmans - Graduate School of Business and Economics (GSBE), … - 2012
This paper attempts to predict the bear conditions on the US stock market. To this aim weelaborate simple predictive regressions, static and dynamic binary choice (BCM) as well asMarkov-switching models. The in- and out-of-sample prediction ability is evaluated and we comparethe forecasting...