This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy when the models being compared are overlapping in the sense of Vuong (1989). Two models are overlapping when the true model contains just a subset of variables common to the larger sets of...

This paper surveys recent developments in the evaluation of point forecasts. Taking West's (2006) survey as a starting point, we briefly cover the state of the literature as of the time of West's writing. We then focus on recent developments, including advancements in the evaluation of forecasts...

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Presented at the 10th EABCN Workshop on Uncertainty over the Business Cycle, European Central Bank, Frankfurt.

Given at the 36th Annual Economic Policy Conference, St. Louis. October 20, 2011.

April 18, 2011. Presented at Kentucky Day with the Commissioner, Louisville, Ky.

Delivered at the High Profile Speaker Series, New York Society of Security Analysts, New York City. November 8, 2010.

Presented at the Annual Dealmakers Event, San Diego, California.

Presented at CFA Society of St. Louis. November 15, 2011.

Presented in London, U.K. Addressed members of various financial institutions on Wednesday at the UBS Macro Dinner in London.