Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - In: Oxford Bulletin of Economics and Statistics 76 (2014) 4, pp. 510-535
type="main" xml:id="obes12035-abs-0001" <title type="main">Abstract</title> <p>We perform a comprehensive examination of the recursive, comparative predictive performance of linear and nonlinear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR) and smooth transition...</p>
