We search for time-varying predictable components in monthly excess stock index returns over the risk free rates in the G7 countries. The predictable components provide an estimate of the expected excess returns. Our unobserved components model improves on Conrad and Kaul (1988) by taking into...

We investigate forecast performance of artificial neural network models using Ashley, et al. (1980) and employ neural network nonlinearity test proposed by Lee, et al. (1993) to find possible existence of business cycle asymmetries in Canada, France, Japan, UK, and USA real GDP growth rates. Our...

We search for time-varying predictable components in monthly excess stock index returns over the risk free rates in the G7 countries. The predictable components provide an estimate of the expected excess returns. Our unobserved components model improves on Conrad and Kaul (1988) by taking into...

We investigate whether business cycle dynamics in seven industrialized countries (the G7) are characterized by asymmetries in conditional mean. We provide evidence on this issue using a variety of time series models. Our approach is fully parametric. Our testing strategy is robust to any...

We investigate whether business cycle dynamics in seven industrialized countries (the G7) are characterized by asymmetries in conditional mean. We provide evidence on this issue using a variety of time series models. Our approach is fully parametric. Our testing strategy is robust to any...

Forecast performance of artificial neural network models are investigated using Ashley et al . (1980) and the neural network nonlinearity test proposed by Lee et al . (1993) is employed to find possible existence of business cycle asymmetries in Canada, France, Japan, UK and USA real GDP growth...