Long-term country equity premium forecasts based on a cross-sectional global factor model (CS-GFM), where factors represent compensation for risks proxied by valuation and financial variables, are superior, statistically and economically, from forecasts based on time-series prediction models...

We propose a novel empirical strategy that enables the researcher to select buckets of volatility forecasting models with similar accuracy. Using our Multiple Hypothesis Testing framework with False Discovery Rate (FDR) approach, we are able to identify buckets of more accurate models relative...

Bank failure prediction is a popular topic that requires highly accurate results. We contribute to the literature by determining whether models based on the crisis data are suitable for predicting bank failure during a stable period and which predictors can be held for long-term forecasting. In...