The Great Financial Crisis of 2008 – 2009 has raised the attention of policy-makers and researchers about the interconnectedness among the volatility of the returns of financial assets as a potential source of risk that extends beyond the usual changes in correlations and include transmission...

We study the recursive, out-of-sample realized predictive performance of a rich set of predictor choices and models, spanning linear and Markov switching frameworks when the forecast target is represented by excess NCREIF and equity NAREIT returns. We find considerable pockets of predictive...

We investigate the out-of-sample, recursive predictive accuracy for (fully hedged) commodity future returns of two sets of forecasting models, i.e., hidden Markov chain models in which the coefficients of predictive regressions follow a regime switching process and stepwise variable selection...