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Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - Federal Reserve Bank of St. Louis - 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,...

Persistent link: https://www.econbiz.de/10008690986

Non-linear predictability in stock and bond returns : when and where is it exploitable?

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008

that capturing non-linear effects is of extreme importance to improve forecasting performance. U.S. and U.K. asset return … in which we find statistically significant differences between forecasting models. Results appear to be remarkably stable … ; forecasting ; predictability in financial returns …

Persistent link: https://www.econbiz.de/10003732461

Non-linear predictability in stock and bond returns : when and where is it exploitable?

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008

Persistent link: https://www.econbiz.de/10003741408

Non-linear predictability in stock and bond returns : when and where is it exploitable?

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - In: International journal of forecasting 25 (2009) 2, pp. 373-399

Persistent link: https://www.econbiz.de/10003870067

Term structure of risk under alternative econometric specifications

Guidolin, Massimo; Timmermann, Allan - In: Journal of econometrics 131 (2006) 1/2, pp. 285-308

Persistent link: https://www.econbiz.de/10003298584

Term structure of risk under alternative econometric specifications

Guidolin, Massimo (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003163904

Economic implications of bull and bear regimes in UK stock and bond returns

Guidolin, Massimo; Timmermann, Allan - In: The economic journal : the journal of the Royal … 115 (2005) 500, pp. 111-143

Persistent link: https://www.econbiz.de/10002554576

Term structure of risk under alternative econometric specifications

Guidolin, Massimo; Timmermann, Allan - 2004

Persistent link: https://www.econbiz.de/10002398866

Recursive modeling of nonlinar dynamics in UK stock returns

Guidolin, Massimo; Timmermann, Allan - In: The Manchester School 71 (2003) 4, pp. 381-395

Persistent link: https://www.econbiz.de/10001771328

Term structure of risk under alternative econometric specifications

Guidolin, Massimo; Timmerman, Allan - Federal Reserve Bank of St. Louis - 2005

large variations in term structures across econometric specifications. An out-of-sample forecasting experiment applied to …

Persistent link: https://www.econbiz.de/10005360545

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