Guidolin, Massimo; Timmerman, Allan - Federal Reserve Bank of St. Louis - 2005
stock, bond and cash portfolios suggests that the best model is asset- and horizon specific but that the bootstrap and … specifications.
An out-of-sample forecasting experiment applied to stock, bond and cash portfolios suggests
that the best model is … returns on stock and bond portfolios, using both univariate and
multivariate specifications. Second, we characterize the term …