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 … simple Markov switching, by studying the effects of expanding both the order of the VAR and the number/selection of predictor …

from 1962 to 2013 in three subperiods. We find evidence of a reduction of linear predictability in the most recent period …

linear predictability in the most recent period, for small and medium cap stocks. The main findings are not substantially …

-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated …

. We take a Bayesian perspective and develop methods to draw from any posterior distribution of a VAR that encodes a priori … skepticism about large amounts of return predictability while imposing the CS restrictions. In doing so, we show how a common … predictability, which we label "dividend momentum." Compared to estimation based on ordinary least squares, our restricted …