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Does the macroeconomy predict UK asset returns in a nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010

Persistent link: https://www.econbiz.de/10008668600

Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 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/10008990694

Does the macroeconomy predict UK asset returns in a nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - In: Oxford bulletin of economics and statistics 76 (2014) 4, pp. 510-535

Persistent link: https://www.econbiz.de/10010474888

Evaluation of forecasting accuracy of an equity valuation model : a case of ZEE

Kumar, Amit; Chaudhry, Shivani; Sao, Ameet - In: International journal of accounting, auditing and … 19 (2023) 2, pp. 234-249

Persistent link: https://www.econbiz.de/10014335303

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Persistent link: https://www.econbiz.de/10001650402

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raaij, Gabriela de; Raunig, Burkhard - 2002

tests. It is demonstrated that misspecifications of forecasting models can be detected within the proposed regression … power in many practical situations and therefore frequently selects incorrect forecasting models. The empirical results …

Persistent link: https://www.econbiz.de/10001657476

Parametric and nonparametric estimation of conditional return expectations

Drobetz, Wolfgang; Hoechle, Daniel - In: Risk management : challenge and opportunity ; with 125 …, (pp. 169-196). 2005

Persistent link: https://www.econbiz.de/10002447562

Evaluating density forecasts from models of stock market returns

Raaij, Gabriela de; Raunig, Burkhard - In: The European journal of finance 11 (2005) 2, pp. 151-166

Persistent link: https://www.econbiz.de/10002841826

Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns

Chen, Shiyi - 2017

financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … 30, 2005. The experiment shows that, under both varying and fixed forecasting schemes, the SVR-based GARCH outperforms …

Persistent link: https://www.econbiz.de/10012966267

Predictive Regressions under Arbitrary Persistence and Stock Return Predictability

Borup, Daniel; Christensen, Bent Jesper; Ergemen, Yunus Emre - 2021

present value theory. Long-term government bond yields exhibit predictive power over all horizons from one month through five …

Persistent link: https://www.econbiz.de/10013238244