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 … the conditional mean. The results demonstrate that U.K. asset returns require non-linear dynamics be modeled. In …

A recent literature has shown that REIT returns contain strong evidence of bull and bear dynamic regimes that may be … best captured using nonlinear econometric models of the Markov switching type. In fact, REIT returns would display regime …-horizon portfolio performances that may compete with those typical of bull and bear models. A typical investor with intermediate risk …

We analyze the recursive, out-of-sample performance of asset allocation decisions based on financial ratio … based on the dividend-price, earning-price, and book-to-market ratios can forecast excess equity returns, and an economic … account. However, also when regimes are considered, predictability gives high payoffs only to long-horizon, highly risk …

regimes does not improve the performance in all cases, they could be beneficial to replicating correlations among commodity …

We investigate whether the favorable performance of a fairly simple multistate multivariate Markov regime switching … parameters of each model specification and use it to forecast returns and variances for the REIT, stock, and bond asset classes … returns in each asset class, but is inferior in forecasting return variances. For the purpose of forecasting inter …