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Linear and nonlinear predictability in investment style factors : multivariate evidence
Chincoli, Francesco; Guidolin, Massimo - In: The journal of asset management 18 (2017) 6, pp. 476-509
Persistent link: https://www.econbiz.de/10011844398
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How good can heuristic-based forecasts be? : a comparative performance of econometric and heuristic models for UK and US asset returns
Guidolin, Massimo; Orlov, Alexei G.; Pedio, Manuela - In: Quantitative finance 18 (2018) 1, pp. 139-169
Persistent link: https://www.econbiz.de/10011905849
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Does the macroeconomy predict UK asset returns in a nonlinear fashion? : comprehensive out-of-sample evidence
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010
Persistent link: https://www.econbiz.de/10008668600
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Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 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/10008990694
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Does the macroeconomy predict UK asset returns in a nonlinear fashion? : comprehensive out-of-sample evidence
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - In: Oxford bulletin of economics and statistics 76 (2014) 4, pp. 510-535
Persistent link: https://www.econbiz.de/10010474888
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Media attention vs. sentiment as drivers of conditional volatility predictions : an application to Brexit
Guidolin, Massimo; Pedio, Manuela - 2020
coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of …
Persistent link: https://www.econbiz.de/10012487265
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Media attention vs. sentiment as drivers of conditional volatility predictions : an application to Brexit
Guidolin, Massimo; Pedio, Manuela - In: Finance research letters 42 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10014581427
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Non-linear predictability in stock and bond returns: When and where is it exploitable?
Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - 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 …
Persistent link: https://www.econbiz.de/10010277939
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The Economic and Statistical Value of Forecast Combinations under Regime Switching: An Application to Predictable US Returns
Guidolin, Massimo; Fangzhou Na, Carrie - Manchester Business School - 2007
flexible regime switching VAR framework — in which the presence of regimes may lead to superior forecasting performance from …
Persistent link: https://www.econbiz.de/10005870160
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Learning to smile : can rational learning explain predictable dynamics in the implied volatility surface?
Bernales, Alejandro; Guidolin, Massimo - In: Journal of financial markets 26 (2015), pp. 1-37
Persistent link: https://www.econbiz.de/10011477269