uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic … gains using financial and macroeconomic time series. The results indicate that the proposed time varying model weight … returns on the S&P 500 index, time varying model weights provide improved forecasts with substantial economic gains in an …

uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic … gains using financial and macroeconomic time series. The results indicate that the proposed time varying model weight … returns on the S&P 500 index, time varying model weights provide improved forecasts with substantial economic gains in an …

, which are subject to large estimation errors and conditional on time. We propose a model accounting for factor dynamics in a …

accommodate time-varying predictability of individual assets and choosing between them at portfolio revision dates based on …

integrated framework to examine whether a real-time optimizing investor can benefit from the stock market by allocating assets … on the output of the forecasting model. All aforementioned steps only use data up to the current time and before the … forecasting time. The results are compared to common benchmarks such as the buy-and-hold strategy and additional benchmarks that …