Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - Federal Reserve Bank of St. Louis - 2009
over time, and robust to the specification of the loss function used in statistical evaluations as well as to the …We systematically examine the comparative predictive performance of a number of alternative linear and non … that capturing non-linear effects is of extreme importance to improve forecasting performance. U.S. and U.K. asset return …