construct the optimal shrinkage intensity. Finally, we carry out an extensive out-of-sample analysis with simulated and …

out-of-sample forecasts using an adaption of the model of Hatton (1995) to time series cross-sectional data about post …

This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931–2009. The …

important business survey, the Economic Tendency Survey. <p> Employing nine years of quarterly real-time data, an out-of-sample …

important business survey – the Economic Tendency Survey – are evaluated. <p> An out-of-sample forecast exercise using nine …

ability as well as the out-of-sample accuracy of the outcomes.The results are somewhat tentative but consistent with the …

ability as well as the out-of-sample accuracy of the outcomes.The results are somewhat tentative but consistent with the …

different fundamentals under consideration in out-of-sample contests. It provides strong evidence to out-predict the random walk …

This study examines whether the output gap leads portfolio stock returns. The paper conducts in-sample and out-of-sample … predictable in-sample by the output gap. Out-of-sample evidence is weaker but still generally supports the finding that the … mimicking portfolios can be forecasted by the output gap. In particular, there is some out-of-sample predictability of the size …