. Keywords: Predictive Ability Testing, Instability, Structural Change, Forecast Evaluation Acknowledgments: We thank Kirstin … development of tests of overall predictive ability such as Diebold and Mariano (1995), West (1996), McCracken (2000), Clark and … hypothesis that the two models have equal predictive ability. 4 performance as the out-of-sample MSFE differences computed over …

Correction Model (ECM), the empirical findings suggest that the out-of-sample predictive ability is strong and robust across …

(4):365–380, <CitationRef CitationID="CR10">2005</CitationRef>) Superior Predictive Ability test. The standard approach tells us that while some …

publication by Bouman and Jacobsen (2002). We implement regression models as well as Hansen’s (2005) “Superior Predictive Ability …

. Changes in VIX have significant predictive ability for daily returns in the major European equity markets during the European … stock market returns before and during the European equity market crisis. Also, we examine whether VIX has predictive … ability with respect to short-run European stock market returns. We find a strong negative contemporaneous relation between …