I have used four measures that have had considerable success in predicting stock market declines of ten percent or more and average twenty-five percent. Other declines of 5-15% seem to be hard to predict ex ante, while some can be explained ex post. In this paper, I focus on six of the latter...

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...