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predictability, popular predictors from the literature fail to outperform the simple historical average benchmark forecast in out … model restrictions, forecast combination, diffusion indices, and regime shifts—improve forecasting performance by addressing …
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estimation of the state vector and of the time-varying parameters. We use this method to study the timevarying relationship …
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Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets...
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