Ravazzolo, F.; Dijk, D.J.C. van; Paap, R.; Franses, … - Erasmus University Rotterdam, Econometric Institute - 2006
This paper develops a return forecasting methodology that allows for instabil ity in the relationship between stock returns and predictor variables, for model uncertainty, and for parameter estimation uncertainty. The predictive regres sion speci¯cation that is put forward allows for...