Preface -- The background : channels of contagion in the us financial crisis1 -- Methodology -- The data -- Estimates of single-state var models -- Results from markov switching models -- Estimating and disentangling the contagion channels -- Comparing the us and european contagion experiences...

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...