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Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance

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  • Daniele Massacci

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  • Daniele Massacci, 2015. "Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(3), pages 191-208, April.
    • Handle: RePEc:wly:jforec:v:34:y:2015:i:3:p:191-208
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    Cited by:

    1. Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
    2. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
    3. Richard K. Crump & Domenico Giannone & Sean Hundtofte, 2018. "Changing Risk-Return Profiles," Liberty Street Economics 20181004, Federal Reserve Bank of New York.
    4. Kaihua Deng, 2015. "Predicting By Learning: An Adaptive Rationale," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-14, December.
    5. Pal, Shanoli Samui & Kar, Samarjit, 2019. "Time series forecasting for stock market prediction through data discretization by fuzzistics and rule generation by rough set theory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 162(C), pages 18-30.

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