We use multivariate random forests to compute out-of-sample forecasts of a vector of returns of four precious metal prices (gold, silver, platinum, and palladium). We compare the multivariate forecasts with univariate out-of-sample forecasts implied by random forests independently fitted to...

We study return predictability of stock indexes of blue chip firms and smaller hightechnology firms in Germany, France, and the United Kingdom during the second half of the 1990s. We measure return predictability in terms of first-order autocorrelation coefficients, and find evidence for return...