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Forecasting Stock Returns with Model Uncertainty and Parameter Instability

Zhang, Hongwei - 2019

We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock returns. When estimated traditionally, our results confirm that the simple combination of individual predictors is superior. However, sophisticated models improve dramatically...

Persistent link: https://www.econbiz.de/10012901029

Misunderstanding Risk and Return?

Lioui, Abraham - 2011

In a seminal contribution, Campbell (1996) [Campbell, J., 1996, Understanding Risk and Return, Journal of Political … predictors of portfolio returns are estimated and used as risk factors in an asset pricing model. One key element is the … of risk associated with the predictors non identifiable. This is because they depend on the arbitrary ordering of the …

Persistent link: https://www.econbiz.de/10013117546

Generalized entropy and model uncertainty

Meyer-Gohde, Alexander - In: Journal of economic theory 183 (2019), pp. 312-343

Persistent link: https://www.econbiz.de/10012131342

Common pricing across asset classes : empirical evidence revisited

Gospodinov, Nikolaj; Robotti, Cesare - In: Journal of financial economics 140 (2021) 1, pp. 292-324

Persistent link: https://www.econbiz.de/10013188701

Dynamic asset allocation with ambiguous return predictability

Chen, Hui; Ju, Nengjiu; Miao, Jianjun - In: Review of economic dynamics 17 (2014) 4, pp. 799-823

Persistent link: https://www.econbiz.de/10011281431

Measuring and testing systemic risk from the cross-section of stock returns

Gil Jaime, Jesús; Olmo, Jose - 2024

Persistent link: https://www.econbiz.de/10015338815

Generalized Fama proxy hypothesis : impact of shocks on Phillips curve and relation of stock returns with inflation

Kryzanowski, Lawrence; Rahman, Abdul H. - In: Economics letters 103 (2009) 3, pp. 135-137

Persistent link: https://www.econbiz.de/10003854891

The predictive power of Nelson-Siegel factor loadings for the real economy

Han, Yang; Jiao, Anqi; Ma, Jun - In: Journal of empirical finance 64 (2021), pp. 95-127

Persistent link: https://www.econbiz.de/10013259403

Stock returns and inflation risk : economic versus statistical evidence

Katzur, Tomek; Spierdijk, Laura - In: Applied financial economics 23 (2013) 13/15, pp. 1123-1136

Persistent link: https://www.econbiz.de/10010204797

A reexamination of Friedman-Ball's hypothesis in Slovakia : evidence from wavelet analysis

Tao, Ran; Li, Zheng-Zheng; Li, Xiao-Lin; Su, Chi-Wei - In: Romanian journal of economic forecasting 21 (2018) 4, pp. 41-54

Persistent link: https://www.econbiz.de/10012021869