We investigate the predictive ability of financial and macroeconomic variables for German stock and bond returns using a battery of performance metrics in addition to measures of superior predictive accuracy to identify the ‘best' models. We also examine whether combination forecasts provide...

The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...