We apply a bootstrap test to determine whether some forecasters are able to make superior probability assessments to others. In contrast to some findings in the literature for point predictions, there is evidence that some individuals really are better than others. The testing procedure controls...

This paper examines the lead/lag relations between size-sorted portfolio returns through the lens of financial cycles governing these returns using a novel econometric methodology. Specifically, we develop a Markov-switching vector autoregressive model that allows for imperfect synchronization...