forecasting out-of-sample a large set of index options between 1996 and 2009, substantial improvements are found compared to …

R2, AIC, in-sample predictive ability and residual properties. However, the out-of-sample forecasts from the PAR model …

-2008, the CLI-AT indicates cyclical turns with a "steady" lead in the majority of cases. Finally, in using an out-of-sample …

differenced series over seasonally differenced series. The UCMs are found to generate reasonable medium to long-term out-of-sample …

out-of-sample performance, as pseudo-real time evaluation exercises show. …

inflation forecasts. We evaluate these new forecasts in an out-of-sample exercise. The new forecasts display important …

the framework of Markowitz's mean-variance portfolio theory. We outline and compare the out-of-sample performance of these …

in-sample and out-of-sample tests and daily returns for the Johannesburg Stock Exchange (JSE) All Share Index from 07 … South Africa. In out-of-sample tests, we find that combining forecasts from different benchmark and competing models that …

In this paper, we examine the predictive ability, both in-sample and the out-of-sample, for South African stock returns … out-of-sample period of 1997:01 to 2010:04. We use the t-statistic corresponding to the slope coefficient in a predictive … regression model for in-sample predictions, while for the out-of-sample, the MSE-F and the ENC-NEW tests statistics with good …