Purpose: The Group Method of Data Handling (GMDH) neural network has demonstrated good performance in data mining, prediction, and optimization. Scholars have used it to forecast stock and real estate investment trust (REIT) returns in some countries and region, but not in the United States (US)...

We propose a new investment strategy, the improved cross-asset time-series momentum (I-XTSM) strategy, to improve investment performance. Using data on 25 investment portfolios and common commodities for the period from January 1990 to April 2021, we find that the I-XTSM strategy increases...

We propose a new predictor - the innovation in the daily return minimum in the U.S. stock market () - for predicting international stock market returns. Using monthly data for a wide range of 17 MSCI international stock markets during the period spanning over half a century from January 1972 to...