estimates lead in turn to substantial gains for forecasting various risk measures at horizons ranging from a few days to a few …

investment strategy including transaction costs. Another empirical example refers to forecasting US economic growth over the … business cycle. It suggests that time varying combination schemes may be very useful in business cycle analysis and forecasting …

investment strategy including transaction costs. Another empirical example refers to forecasting US economic growth over the … business cycle. It suggests that time varying combination schemes may be very useful in business cycle analysis and forecasting …

systematic risk; and (3) forecasting risk/return profiles of hedge fund investment strategies …

Black-Litterman forecasting model widely used by investment practitioners in various forms is revisited in the light cast by …

The purpose of this study is to incorporate some of the influential findings in the forecasting literature in an … on the output of the forecasting model. All aforementioned steps only use data up to the current time and before the … forecasting time. The results are compared to common benchmarks such as the buy-and-hold strategy and additional benchmarks that …