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...

A recent literature has shown that, similarity to stocks and bonds, REIT returns contain strong evidence of bull and bear regimes, that may best captured using nonlinear econometric models of the Markov switching type

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...

This paper studies the predictive performance of multivariate models at forecasting the (excess) returns of portfolios mimicking the Market, Size, Value, Momentum, and Low Volatility factors isolated in asset pricing research. We evaluate the accuracy of the point forecasts of a number of linear...

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...

We test whether three well-known commodity-specific variables (basis, hedgingpressure, and momentum) may improve the predictive power for commodity futuresreturns of models otherwise based on macroeconomic factors. We compute recursive,out-of-sample forecasts for fifteen monthly commodity...

We study the recursive, out-of-sample realized predictive performance of a rich set of predictor choices and models, spanning linear and Markov switching frameworks when the forecast target is represented by excess NCREIF and equity NAREIT returns. We find considerable pockets of predictive...

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...

In this paper we take an empirical asset pricing perspective and investigate the dominant view (possibly, an instinctive reflection of the media hype surrounding the surge of Bitcoin valuations) that cryptocurrencies represent a new asset class, spanning risks and payoffs sufficiently...

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all American-style options written on the stocks that have entered the Dow Jones Industrial Average Index between 2004 and 2016. We explore whether the implied volatilities extracted...