Using a recursive modelling procedure which generalises existing methods for simulating investors' search in `real time' for a model that can forecast stock returns, the authors demonstrate the extent to which monthly stock returns in the UK were predictable during the period 1970-1993. Owing to...

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...

Empirical evidence suggests that many macroeconomic and financial time-series are subject to occasional structural breaks. In this paper we present analytical results quantifying the effects of such breaks on the correlation between the forecast and the realisation, and on the ability to...

This paper considers the problems facing decision makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated...

Autoregressive models are used routinely in forecasting and often lead to better performance than more complicated models. However, empirical evidence is also suggesting that the autoregressive representations of many macroeconomic and financial time series are likely to be subject to structural...

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

The contingency table literature on tests for dependence among discrete multi-category variables assume that draws are independent, and there are no tests that account for serial dependencies ? a problem that is particularly important in economics and finance. This paper proposes a new test of...