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,...

Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets...

We investigate the long-run equilibrium relationship between credit default swap (CDS) premia and bond spreads for 65 U.S. corporate entities and 6 major banks over the period April 2011 – February 2018. Standard regression methods reveal that in 40 out of 71 entities, the two series fail to...