This paper proposes a novel approach to the combination of conditional covariancematrix forecasts based on the use of the Generalized Method of Moments (GMM). Itis shown how the procedure can be generalized to deal with large dimensional systemsby means of a two-step strategy. The finite sample...

This paper studies asset allocation decisions in the presence of regime switching in asset returns. Wefind evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states- are required to capture the joint distribution of stock and bond returns. Optimal asset...

Investors need performance measures particularly as a means for funds selection in the process of exanteportfolio optimization. Unfortunately, there are various performance measures recommended for differentdecision situations. Since an investor may be uncertain which kind of decision problem is...

Analysts providing more accurate earnings forecasts also issue moreprofitable recommendations. We demonstrate how investors can profit fromthis contemporaneous link by differentiating between “able” and “lucky”analysts. In line with previous studies, we find that past track records...

We present evidence of the impact of buy-side analysts on the behavior and performanceof fund managers. Using data provided by a large global asset manager,we relate buy-side analysts’ recommendations to fund transactions on a daily basis.Our results show that buy-side analysts have a...

Controllability of longer-term interest rates requires that the persis-tence of their deviations from the central bank's policy rate (i.e. thepolicy spreads) remains suffciently low. This paper applies fractionalintegration techniques to assess the persistence of policy spreads ofeuro area money...

This paper investigates the intraday response of T-bond futures pricesto surprises in headline figures of U.S. macroeconomic reports. Analyzing thetime series properties and the information content of the macroeconomic newsflow, the paper seeks an answer to the question, what determines the...

We analyze if and to what extent fundamental macroeconomic factors, temporary influencesor more structural factors have contributed to the low levels of US bond yields over the lastfew years. For that purpose, we start with a general model of interest rate determination. Theempirical part...

In this papaer, we put DSGE forecasts in competition with factor forecasts. We focus on these two models since they represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic background; the factor model on the other hand is mainly...

Forecasting the world economy is a di¢ cult task given the complex interre-lationships within and across countries. This paper proposes a number ofapproaches to forecast short-term changes in selected world economic vari-ables and aims, …rst, at ranking various forecasting methods in terms...