Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that …

This paper examines the predictability of a range of international stock markets where we allow the presence of both …

the predictability of these price formation processes. We approximate their predictability as the structural complexity of … logarithmic returns. This method of analysing predictability of price formation processes using information theory follows closely … the mathematical definition of predictability, and is equal to the degree to which redundancy is present in the time …

This paper studies the predictability of bond risk premia by means of expectations to future business conditions using …