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Persistent link: https://www.econbiz.de/10000137149

The use of recursive model selection strategies in forecasting stock returns

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Data-snooping,technical trading rule performance and the bootstrap

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Variations in the mean and volatility of stock returns around turning points of the business cycle

Pérez-Quirós, Gabriel; Timmermann, Allan - In: Forecasting volatility in the financial markets, (pp. 333-350). 2007

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Does the macroeconomy predict UK asset returns in a nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010

Persistent link: https://www.econbiz.de/10008668600

Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010

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,...