variables included. In a typical stock-bond strategic asset allocation problem for U.K. data, we compute the out-of-sample …. We conclude that most VARs cannot produce portfolio rules, hedging demands, or (net of transaction costs) out-of-sample …

exchange rate. In particular, our simple factor-based model outperforms the random walk model in out-of-sample forecast for the …

Out-of-sample tests of forecast performance depend on how a given data set is split into estimation and evaluation … conversely the power of forecast evaluation tests is strongest with long out-of-sample periods. To deal with size distortions, we … predictabil- ity of stock returns and in?ation demonstrate that out-of-sample forecast evaluation results can critically depend on …

Premium Out of Sample: Can Anything Beat the Historical Average?”, Review of Financial Studies 21, 1511-1531, we show that we …