Similar Search Results

Media attention vs. sentiment as drivers of conditional volatility predictions : an application to Brexit

Guidolin, Massimo; Pedio, Manuela - 2020

coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of …

Persistent link: https://www.econbiz.de/10012487265

How good can heuristic-based forecasts be? : a comparative performance of econometric and heuristic models for UK and US asset returns

Guidolin, Massimo; Orlov, Alexei G.; Pedio, Manuela - In: Quantitative finance 18 (2018) 1, pp. 139-169

Persistent link: https://www.econbiz.de/10011905849

Media attention vs. sentiment as drivers of conditional volatility predictions : an application to Brexit

Guidolin, Massimo; Pedio, Manuela - In: Finance research letters 42 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10014581427

The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns

Guidolin, Massimo; Na, Carrie Fangzhou - Federal Reserve Bank of St. Louis - 2007

flexible regime switching VAR framework — in which the presence of regimes may lead to superior forecasting performance from …, past forecasting performance. The economic gains from combining forecasts in portfolio management applications appear to be …

Persistent link: https://www.econbiz.de/10005707761

Forecasts of U.S. short-term interest rates: a flexible forecast combination approach

Guidolin, Massimo; Timmerman, Allan - Federal Reserve Bank of St. Louis - 2007

combining forecasts from different models helps improve the out-of-sample forecasting performance for US short-term rates …. Imposing restrictions from the expectations hypothesis on the forecasting model are found to help at long forecasting horizons. …

Persistent link: https://www.econbiz.de/10005490995

Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - Federal Reserve Bank of St. Louis - 2010

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Persistent link: https://www.econbiz.de/10008690986