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Chapter 10 Forecasting Stock Return Volatility in the Presence of Structural Breaks

Rapach, David E.; Strauss, Jack K.; Wohar, Mark E. - In: Forecasting in the presence of structural breaks and …, (pp. 381-416). 2008

We examine the role of structural breaks in forecasting stock return volatility. We begin by testing for structural breaks in the unconditional variance of daily returns for the S&P 500 market index and ten sectoral stock indices for 9/12/1989–1/19/2006 using an iterative cumulative sum of...

Persistent link: https://www.econbiz.de/10015382994

Are real GDP levels nonstationary? : Evidence from panel data tests

Rapach, David E. - In: Southern economic journal 68 (2002) 3, pp. 473-495

Persistent link: https://www.econbiz.de/10001647740

Monetary shocks and real exchange rate hysteresis : evidence from the G-7 countries

Rapach, David E. - In: Review of international economics 9 (2001) 2, pp. 356-371

Persistent link: https://www.econbiz.de/10001581053

International comovements in inflation rates and country characteristics

Neely, Christopher J.; Rapach, David E. - In: Journal of international money and finance 30 (2011) 7, pp. 1471-1490

Persistent link: https://www.econbiz.de/10009407644

Mixed-frequency machine learning : nowcasting and backcasting weekly initial claims with daily internet search volume data

Borup, Daniel; Rapach, David E.; Montes Schütte, Erik … - In: International journal of forecasting 39 (2023) 3, pp. 1122-1144

Persistent link: https://www.econbiz.de/10014465249

Out-of-sample equity premium prediction : combination forecasts and links to the real economy

Rapach, David E.; Strauss, Jack; Zhou, Guofu - In: The review of financial studies 23 (2010) 2, pp. 821-862

Persistent link: https://www.econbiz.de/10003943103

Predicting market components out of sample : asset allocation implications

Kong, Aiguo; Rapach, David E.; Strauss, Jack; Zhou, Guofu - In: The journal of portfolio management : a publication of … 37 (2010/11) 4, pp. 29-41

Persistent link: https://www.econbiz.de/10009273895

Out-of-sample equity premium prediction : economic fundamentals vs. moving-average rules

Neely, Christopher J.; Rapach, David E.; Tu, Jun; Zhou, … - 2010

Persistent link: https://www.econbiz.de/10008651185

Can risk explain the profitability of technical trading in currency markets?

Ivanova, Yuliya; Neely, Christopher J.; Rapach, David E.; … - 2014

Persistent link: https://www.econbiz.de/10010423540

Return predictability and dynamic asset allocation : how often should investors rebalance?

Almadi, Himanshu; Rapach, David E.; Suri, Anil - In: The journal of portfolio management : a publication of … 40 (2014) 4, pp. 16-27

Persistent link: https://www.econbiz.de/10010487093

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