In this paper we study the three academically prevalent versions of the Log form of the Expectations Hypothesis (LEH) for the long-term zero-coupon treasury bond yields using the level variables and find clear affirmation for one version, general affirmation for the second version and clear...

This paper shows that asset prices are linear polynomials of various underlying explanatory factors and asset returns being ratios of these polynomials, are rational functions that do not add linearly when averaging. Hence, average returns should be modeled based on stock prices. However,...

Although machine learning is frequently associated with neural networks, it also comprises econometric regression approaches and other statistical technique whose accuracy enhances with increasing observation. What constitutes high quality machine learning is yet unclear though. Proponents of...

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices,...

Recent empirical finance research has suggested the potential for series to exhibit non-linear adjustment to equilibrium. This paper examines a variety of such models and compares their performance with the linear alternative. Using short- and long-term UK interest rates we report evidence that...

This paper investigates the role of oil as a determinant of the US stock-bond correlation. The analysis uses monthly data over the period from February 1990 to July 2021. We examine the impact of oil shocks, using the Ready (2018) method, alongside a range of macroeconomic variables on the...

We investigate whether range-based estimators contain information in forecasting realized volatility within a HAR-RV-X framework and applied to G7 stock markets. Using a rolling window approach and QLIKE, HMSE and MCS forecast criteria, overall findings suggest that while no single model...

We examine the nature of predictive power of money supply growth for stock returns. An understanding of which would be useful for market practitioners and policy makers given the current lack of consensus. In addition, knowledge of this relationship can aid our understanding of the risk and cash...