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Forecasting stock returns

Pesaran, M. Hashem; Timmermann, Allan - 1992

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

Fitting the moments : a comparison of arch and regime switching models for daily stock returns

Sola, Martin; Timmermann, Allan - 1994

Persistent link: https://www.econbiz.de/10000147717

The use of recursive model selection strategies in forecasting stock returns

Pesaran, M. Hashem; Timmermann, Allan - 1994

Persistent link: https://www.econbiz.de/10000147745

Data-snooping,technical trading rule performance and the bootstrap

Sullivan, Ryan; Timmermann, Allan; White, Halbert - 1998

Persistent link: https://www.econbiz.de/10000676438

Real-time macroeconomic data and ex ante stock return predictability

Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - In: International review of financial analysis 17 (2008) 2, pp. 274-290

Persistent link: https://www.econbiz.de/10003765017

Real-time macroeconomic data and ex ante predictability of stock returns

Döpke, Jörg (contributor); Hartmann, Daniel (contributor); … - 2006

We report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised macroeconomic data. Our real-time macroeconomic data cover the period 1994-2005. We report three results. 1) Real-time macroeconomic data did not contribute much to ex ante...