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Essays on empirical term structure modeling

Zhao, Feng - 2004

Persistent link: https://www.econbiz.de/10003387673

Non-linear predictability in stock and bond returns : when and where is it exploitable?

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008

-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth …-linear dynamics, especially of the Markov switching type. Although occasionally also stock and bond return forecasts for other G7 …

Persistent link: https://www.econbiz.de/10003732461

Non-linear predictability in stock and bond returns : when and where is it exploitable?

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008

Persistent link: https://www.econbiz.de/10003741408

Non-linear predictability in stock and bond returns : when and where is it exploitable?

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - In: International journal of forecasting 25 (2009) 2, pp. 373-399

Persistent link: https://www.econbiz.de/10003870067

Is Imperfection Better? Evidence from Predicting Stock and Bond Returns

Lucivjanska, Katarina - 2018

The standard predictive regression assumes expected returns to be perfectly correlated with predictors. In the recently-introduced predictive system, imperfect predictors account only for a partial variance in expected returns. However, the out-of-sample benefits of relaxing the assumption of...

Persistent link: https://www.econbiz.de/10012938654