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International stock return predictability

Smith, Simon C. - In: International review of financial analysis 78 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013255884

Variable selection in panel models with breaks

Smith, Simon C.; Timmermann, Allan; Zhu, Yinchu - In: Journal of econometrics 212 (2019) 1, pp. 323-344

Persistent link: https://www.econbiz.de/10012303949

Equity premium forecasts with an unknown number of structural breaks

Smith, Simon C.; Bulkley, George; Leslie, David S. - In: Journal of financial econometrics 18 (2020) 1, pp. 59-94

Persistent link: https://www.econbiz.de/10012180389

Equity premium estimates from economic fundamentals under structural breaks

Smith, Simon C. - In: International review of financial analysis 52 (2017), pp. 49-61

Persistent link: https://www.econbiz.de/10011868696

Breaks in the Phillips Curve : Evidence from Panel Data

Smith, Simon C.; Timmermann, Allan; Wright, Jonathan H. - National Bureau of Economic Research - 2023

We revisit time-variation in the Phillips curve, applying new Bayesian panel methods with breakpoints to US and European Union disaggregate data. Our approach allows us to accurately estimate both the number and timing of breaks in the Phillips curve. It further allows us to determine the...

Persistent link: https://www.econbiz.de/10014250170

Time-variation, multiple testing, and the factor zoo

Smith, Simon C. - In: International review of financial analysis 84 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013472944

Have risk premia vanished?

Smith, Simon C.; Timmermann, Allan - In: Journal of financial economics 145 (2022) 2,2, pp. 553-576

Persistent link: https://www.econbiz.de/10013474424

Breaks in the Phillips curve : evidence from panel data

Smith, Simon C.; Timmermann, Allan; Wright, Jonathan H. - 2023 - Draft: March 25, 2023

Persistent link: https://www.econbiz.de/10014284088

Structural breaks in grouped heterogeneity

Smith, Simon C. - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 752-764

Persistent link: https://www.econbiz.de/10014448432

Have risk premia vanished?

Smith, Simon C.; Timmermann, Allan - 2021

Persistent link: https://www.econbiz.de/10012508216