We use monthly data on the US riskless yield curve for a 1982-2015 sample to show that mixing simple regime switching dynamics with Nelson-Siegel factor forecasts from time series models extended to encompass variables that summarize the state of monetary policy, leads to superior predictive...

We analyze the recursive, out-of-sample performance of asset allocation decisions based on financial ratio-predictability under single-state linear and regime-switching models. We adopt both a statistical perspective to analyze whether models based on the dividend-price, earning-price, and...

We investigate whether it is possible to find a Stochastic Discount Factor (SDF) that jointly prices the cross-section of eight U.S. portfolios of stocks, Treasuries, corporate bonds, and commodities and replicates their observed moments, and especially correlations. We use the first three...

Using data on international, on-line media coverage and tone of the Brexit referendum, we test whether it is media coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of weekly FTSE 100 stock returns. We find that versions of...

We investigate the out-of-sample, recursive predictive accuracy for (fully hedged) commodity future returns of two sets of forecasting models, i.e., hidden Markov chain models in which the coefficients of predictive regressions follow a regime switching process and stepwise variable selection...