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Autocorrelation in an unobservable global trend : does it help to forecast market returns?

Peresetsky, Anatoly A.; Yakubov, Ruslan I. - In: International journal of computational economics and … 7 (2017) 1/2, pp. 152-169

Persistent link: https://www.econbiz.de/10011713553

Forecasting return volatility : level shifts with varying jump probability and mean reversion

Xu, Jiawen; Perron, Pierre - In: International journal of forecasting 30 (2014) 3, pp. 449-463

Persistent link: https://www.econbiz.de/10010511565

Examining realized volatility regimes under a threshold stochastic volatility model

Xu, Dinghai - In: International journal of finance & economics : IJFE 17 (2012) 4, pp. 373-389

Persistent link: https://www.econbiz.de/10009689475

Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators

Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256

Persistent link: https://www.econbiz.de/10011549916

Time-varying combinations of Bayesian dynamic models and equity momentum strategies

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

A novel dynamic asset-allocation approach is proposed where portfolios as well as portfolio strategies are updated at every decision period based on their past performance. For modeling, a general class of models is specified that combines a dynamic factor and a vector autoregressive model and...

Persistent link: https://www.econbiz.de/10011563065