public firms, we show that the proposed models deliver high out-of-sample predictive accuracy. …

period 2001-2010. The choice of indicators is based on pseudo out-of-sample forecasting exercise implemented by Stock and …

linear models in terms of out-of-sample forecasting accuracy. Furthermore, the results of this study indicate evidence of …

We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional … performer in terms of distributional fit as well as predictive density accuracy, both in-sample and out-of-sample, is the three …