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Forecasting Stock Returns under Economic Constraints

Citations

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Cited by:

  1. Anwen Yin, 2022. "Does the kitchen‐sink model work forecasting the equity premium?," International Review of Finance, International Review of Finance Ltd., vol. 22(1), pages 223-247, March.
  2. Markus Leippold & Hanlin Yang, 2023. "Mixed‐frequency predictive regressions with parameter learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 1955-1972, December.
  3. Prabhu Prasad Panda & Maysam Khodayari Gharanchaei & Xilin Chen & Haoshu Lyu, 2024. "Application of Deep Learning for Factor Timing in Asset Management," Papers 2404.18017, arXiv.org.
  4. Oh, Dong Hwan & Patton, Andrew J., 2024. "Better the devil you know: Improved forecasts from imperfect models," Journal of Econometrics, Elsevier, vol. 242(1).
  5. Li, Jiahan & Tsiakas, Ilias, 2017. "Equity premium prediction: The role of economic and statistical constraints," Journal of Financial Markets, Elsevier, vol. 36(C), pages 56-75.
  6. Hillebrand, Eric & Lukas, Manuel & Wei, Wei, 2021. "Bagging weak predictors," International Journal of Forecasting, Elsevier, vol. 37(1), pages 237-254.
  7. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 235-256.
  8. Dai, Zhifeng & Zhang, Xiaotong & Li, Tingyu, 2023. "Forecasting stock return volatility in data-rich environment: A new powerful predictor," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  9. 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.
  10. Nonejad, Nima, 2021. "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, vol. 77(C).
  11. Davide Pettenuzzo & Francesco Ravazzolo, 2016. "Optimal Portfolio Choice Under Decision‐Based Model Combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1312-1332, November.
  12. Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
  13. Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021. "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, vol. 78(C).
  14. Smith, Simon C., 2017. "Equity premium estimates from economic fundamentals under structural breaks," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 49-61.
  15. Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
  16. Guofu Zhou, 2018. "Measuring Investor Sentiment," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 239-259, November.
  17. Wang, Yudong & Liu, Li & Diao, Xundi & Wu, Chongfeng, 2015. "Forecasting the real prices of crude oil under economic and statistical constraints," Energy Economics, Elsevier, vol. 51(C), pages 599-608.
  18. Carlos Carvalho & Jared D. Fisher & Davide Pettenuzzo, 2018. "Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models," Working Papers 123, Brandeis University, Department of Economics and International Business School.
  19. Chen, Jian & Tang, Guohao & Yao, Jiaquan & Zhou, Guofu, 2023. "Employee sentiment and stock returns," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
  20. Xing, Li-Min & Zhang, Yue-Jun, 2022. "Forecasting crude oil prices with shrinkage methods: Can nonconvex penalty and Huber loss help?," Energy Economics, Elsevier, vol. 110(C).
  21. Wen, Chufu & Zhu, Haoyang & Dai, Zhifeng, 2023. "Forecasting commodity prices returns: The role of partial least squares approach," Energy Economics, Elsevier, vol. 125(C).
  22. Chenchen Li & Chongfeng Wu & Chunyang Zhou, 2021. "Forecasting equity returns: The role of commodity futures along the supply chain," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 46-71, January.
  23. Pan, Zhiyuan & Pettenuzzo, Davide & Wang, Yudong, 2020. "Forecasting stock returns: A predictor-constrained approach," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 200-217.
  24. Mathias S. Kruttli, 2016. "From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors," Finance and Economics Discussion Series 2016-027, Board of Governors of the Federal Reserve System (U.S.).
  25. Zhang, Yaojie & Zeng, Qing & Ma, Feng & Shi, Benshan, 2019. "Forecasting stock returns: Do less powerful predictors help?," Economic Modelling, Elsevier, vol. 78(C), pages 32-39.
  26. Timmermann, Allan, 2018. "Forecasting Methods in Finance," CEPR Discussion Papers 12692, C.E.P.R. Discussion Papers.
  27. Kenechukwu E. Anadu & James Bohn & Lina Lu & Matthew Pritsker & Andrei Zlate, 2019. "Reach for Yield by U.S. Public Pension Funds," Supervisory Research and Analysis Working Papers RPA 19-2, Federal Reserve Bank of Boston.
  28. Biao Guo & Qian Han & Hai Lin, 2018. "Are there gains from using information over the surface of implied volatilities?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 645-672, June.
  29. Qi Lin, 2020. "Idiosyncratic momentum and the cross‐section of stock returns: Further evidence," European Financial Management, European Financial Management Association, vol. 26(3), pages 579-627, June.
  30. Shamsi Zamenjani, Azam, 2021. "Do financial variables help predict the conditional distribution of the market portfolio?," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 327-345.
  31. Leland E. Farmer & Lawrence Schmidt & Allan Timmermann, 2023. "Pockets of Predictability," Journal of Finance, American Finance Association, vol. 78(3), pages 1279-1341, June.
  32. Mingwei Sun & Paskalis Glabadanidis, 2022. "Can technical indicators predict the Chinese equity risk premium?," International Review of Finance, International Review of Finance Ltd., vol. 22(1), pages 114-142, March.
  33. Baltas, Nick & Karyampas, Dimitrios, 2018. "Forecasting the equity risk premium: The importance of regime-dependent evaluation," Journal of Financial Markets, Elsevier, vol. 38(C), pages 83-102.
  34. repec:zbw:bofrdp:2016_029 is not listed on IDEAS
  35. Madhavi Latha Challa & Venkataramanaiah Malepati & Siva Nageswara Rao Kolusu, 2020. "S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-19, December.
  36. Demirer, Riza & Pierdzioch, Christian & Zhang, Huacheng, 2017. "On the short-term predictability of stock returns: A quantile boosting approach," Finance Research Letters, Elsevier, vol. 22(C), pages 35-41.
  37. Nonejad, Nima, 2023. "Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 91-122.
  38. de Oliveira Souza, Thiago, 2019. "Predictability concentrates in bad times. And so does disagreement," Discussion Papers on Economics 8/2019, University of Southern Denmark, Department of Economics.
  39. Coqueret, Guillaume & Deguest, Romain, 2024. "Unexpected opportunities in misspecified predictive regressions," European Journal of Operational Research, Elsevier, vol. 318(2), pages 686-700.
  40. Afees A. Salisu & Raymond Swaray & Tirimisyu F. Oloko, 2017. "A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects," Working Papers 024, Centre for Econometric and Allied Research, University of Ibadan.
  41. Li Liu & Zhiyuan Pan & Yudong Wang, 2022. "Shrinking return forecasts," The Financial Review, Eastern Finance Association, vol. 57(3), pages 641-661, August.
  42. Yin, Anwen, 2020. "Equity premium prediction and optimal portfolio decision with Bagging," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  43. Chiara Limongi Concetto & Francesco Ravazzolo, 2019. "Optimism in Financial Markets: Stock Market Returns and Investor Sentiments," JRFM, MDPI, vol. 12(2), pages 1-14, May.
  44. Gagnon, Marie-Hélène & Power, Gabriel J. & Toupin, Dominique, 2023. "The sum of all fears: Forecasting international returns using option-implied risk measures," Journal of Banking & Finance, Elsevier, vol. 146(C).
  45. Xianfeng Hao & Yudong Wang, 2023. "Forecasting the stock risk premium: A new statistical constraint," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1805-1822, November.
  46. Guillaume Coqueret & Romain Deguest, 2024. "Unexpected opportunities in misspecified predictive regressions," Post-Print hal-04595355, HAL.
  47. Dong Hwan Oh & Andrew J. Patton, 2021. "Better the Devil You Know: Improved Forecasts from Imperfect Models," Finance and Economics Discussion Series 2021-071, Board of Governors of the Federal Reserve System (U.S.).
  48. João F. Caldeira & Rangan Gupta & Hudson S. Torrent, 2020. "Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?," Mathematics, MDPI, vol. 8(11), pages 1-16, November.
  49. Zhu, Haibin & Bai, Lu & He, Lidan & Liu, Zhi, 2023. "Forecasting realized volatility with machine learning: Panel data perspective," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 251-271.
  50. Libo Yin, 2022. "The role of intermediary capital risk in predicting oil volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 401-416, January.
  51. Souropanis, Ioannis & Vivian, Andrew, 2023. "Forecasting realized volatility with wavelet decomposition," Journal of Empirical Finance, Elsevier, vol. 74(C).
  52. Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Extensions to IVX methods of inference for return predictability," Journal of Econometrics, Elsevier, vol. 237(2).
  53. Liang, Chao & Xu, Yongan & Wang, Jianqiong & Yang, Mo, 2022. "Whether dimensionality reduction techniques can improve the ability of sentiment proxies to predict stock market returns," International Review of Financial Analysis, Elsevier, vol. 82(C).
  54. Andrew Detzel & Hong Liu & Jack Strauss & Guofu Zhou & Yingzi Zhu, 2021. "Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard‐to‐value fundamentals," Financial Management, Financial Management Association International, vol. 50(1), pages 107-137, March.
  55. Shuo Cao, 2018. "Learning about Term Structure Predictability under Uncertainty," GRU Working Paper Series GRU_2018_006, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
  56. Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
  57. Alexandridis, Antonios K. & Apergis, Iraklis & Panopoulou, Ekaterini & Voukelatos, Nikolaos, 2023. "Equity premium prediction: The role of information from the options market," Journal of Financial Markets, Elsevier, vol. 64(C).
  58. Wan, Runqing & Fulop, Andras & Li, Junye, 2022. "Real-time Bayesian learning and bond return predictability," Journal of Econometrics, Elsevier, vol. 230(1), pages 114-130.
  59. Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  60. Yaojie Zhang & Feng Ma & Chao Liang & Yi Zhang, 2021. "Good variance, bad variance, and stock return predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4410-4423, July.
  61. Jiawen Xu & Pierre Perron, 2015. "Forecasting in the presence of in and out of sample breaks," Boston University - Department of Economics - Working Papers Series wp2015-012, Boston University - Department of Economics.
  62. Liang, Chao & Wang, Lu & Duong, Duy, 2024. "More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability?," Journal of Economic Behavior & Organization, Elsevier, vol. 218(C), pages 1-19.
  63. Sha Zhu & Fujun Lai & Jie Deng & Qian Wang, 2021. "Do Mutual Funds’ Exposure to Financial Stress Predict Their Future Returns? Evidence From China," SAGE Open, , vol. 11(4), pages 21582440211, October.
  64. Lin, Hai & Tao, Xinyuan & Wu, Chunchi, 2022. "Forecasting earnings with combination of analyst forecasts," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 133-159.
  65. Nonejad, Nima, 2020. "Crude oil price volatility and equity return predictability: A comparative out-of-sample study," International Review of Financial Analysis, Elsevier, vol. 71(C).
  66. Bai, Fan & Zhang, Yaqi & Chen, Zhonglu & Li, Yan, 2023. "The volatility of daily tug-of-war intensity and stock market returns," Finance Research Letters, Elsevier, vol. 55(PA).
  67. Lawrenz, Jochen & Zorn, Josef, 2017. "Predicting international stock returns with conditional price-to-fundamental ratios," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 159-184.
  68. Daniele Bianchi & Kenichiro McAlinn, 2018. "Large-Scale Dynamic Predictive Regressions," Papers 1803.06738, arXiv.org.
  69. Liu, Jiadong & Papailias, Fotis & Quinn, Barry, 2021. "Direction-of-change forecasting in commodity futures markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
  70. Wang, Yudong & Hao, Xianfeng & Wu, Chongfeng, 2021. "Forecasting stock returns: A time-dependent weighted least squares approach," Journal of Financial Markets, Elsevier, vol. 53(C).
  71. , & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," CEPR Discussion Papers 16357, C.E.P.R. Discussion Papers.
  72. Davide Pettenuzzo & Francesco Ravazzolo, 2016. "Optimal Portfolio Choice Under Decision‐Based Model Combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1312-1332, November.
  73. Antonios K. Alexandridis & Ekaterini Panopoulou & Ioannis Souropanis, 2024. "Forecasting exchange rates: An iterated combination constrained predictor approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 983-1017, July.
  74. Ma, Feng & Wu, Hanlin & Zeng, Qing, 2024. "Biodiversity and stock returns," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  75. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2017. "Predictability and diversification benefits of investing in commodity and currency futures," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 52-66.
  76. Tsiakas, Ilias & Li, Jiahan & Zhang, Haibin, 2020. "Equity premium prediction and the state of the economy," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 75-95.
  77. Biao Guo & Hai Lin, 2020. "Volatility and jump risk in option returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1767-1792, November.
  78. Wang, Yunqi & Zhou, Ti, 2023. "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 199-226.
  79. Rojo Suárez, Javier & Alonso Conde, Ana Belén & Ferrero Pozo, Ricardo, 2020. "European equity markets: Who is the truly representative investor?," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 325-346.
  80. Wang, Yudong & Liu, Li & Ma, Feng & Diao, Xundi, 2018. "Momentum of return predictability," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 141-156.
  81. Hai Lin & Chunchi Wu & Guofu Zhou, 2018. "Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach," Management Science, INFORMS, vol. 64(9), pages 4218-4238, September.
  82. Mete Kilic & Ivan Shaliastovich, 2019. "Good and Bad Variance Premia and Expected Returns," Management Science, INFORMS, vol. 67(6), pages 2522-2544, June.
  83. Jiawen Xu & Pierre Perron, 2015. "Forecasting in the presence of in and out of sample breaks," Boston University - Department of Economics - Working Papers Series wp2015-012, Boston University - Department of Economics.
  84. Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
  85. Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
  86. Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  87. Zhang, Yaojie & Ma, Feng & Wang, Yudong, 2019. "Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 97-117.
  88. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Variance swap payoffs, risk premia and extreme market conditions," Econometrics and Statistics, Elsevier, vol. 13(C), pages 106-124.
  89. Nonejad, Nima, 2021. "Predicting equity premium using dynamic model averaging. Does the state–space representation matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  90. Wang, Yudong & Pan, Zhiyuan & Wu, Chongfeng & Wu, Wenfeng, 2020. "Industry equi-correlation: A powerful predictor of stock returns," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 1-24.
  91. Travis L Johnson, 2019. "A Fresh Look at Return Predictability Using a More Efficient Estimator," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 9(1), pages 1-46.
  92. Khoa Hoang & Robert Faff, 2021. "Is the ex‐ante equity risk premium always positive? Evidence from a new conditional expectations model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(1), pages 95-124, March.
  93. Liu, Li & Bu, Ruijun & Pan, Zhiyuan & Xu, Yuhua, 2019. "Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test," Economic Modelling, Elsevier, vol. 81(C), pages 124-135.
  94. Dai, Zhifeng & Zhu, Huan, 2021. "Indicator selection and stock return predictability," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  95. Eduard Baitinger, 2021. "Forecasting asset returns with network‐based metrics: A statistical and economic analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1342-1375, November.
  96. Yin, Anwen, 2019. "Out-of-sample equity premium prediction in the presence of structural breaks," International Review of Financial Analysis, Elsevier, vol. 65(C).
  97. Michaelides, Alexander & Zhang, Yuxin, 2022. "Life-cycle portfolio choice with imperfect predictors," Journal of Banking & Finance, Elsevier, vol. 135(C).
  98. Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
  99. Nonejad, Nima, 2022. "Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study," International Review of Financial Analysis, Elsevier, vol. 83(C).
  100. repec:zbw:bofrdp:2020_006 is not listed on IDEAS
  101. Ma, Feng & Li, Yu & Liu, Li & Zhang, Yaojie, 2018. "Are low-frequency data really uninformative? A forecasting combination perspective," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 92-108.
  102. Simon C. Smith, 2020. "Equity premium prediction and structural breaks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 412-429, July.
  103. Sun, Yuzhe & Wang, Yanjie & Zhang, Shunming & Huang, Helen, 2023. "The impact of ambiguity-loving attitude on market participation and asset pricing," Economic Modelling, Elsevier, vol. 128(C).
  104. Dai, Zhifeng & Dong, Xiaodi & Kang, Jie & Hong, Lianying, 2020. "Forecasting stock market returns: New technical indicators and two-step economic constraint method," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  105. Dai, Zhifeng & Zhu, Huan, 2020. "Stock return predictability from a mixed model perspective," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
  106. Zhang, Yaojie & Ma, Feng & Zhu, Bo, 2019. "Intraday momentum and stock return predictability: Evidence from China," Economic Modelling, Elsevier, vol. 76(C), pages 319-329.
  107. Zhang, Yugui & Zhu, Jie & Zhu, Xiaoneng, 2020. "Investing for the long run when expected equity premium is nonnegative," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
  108. Kocaarslan, Baris & Sari, Ramazan & Gormus, Alper & Soytas, Ugur, 2017. "Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 41-56.
  109. Dichtl, Hubert, 2020. "Forecasting excess returns of the gold market: Can we learn from stock market predictions?," Journal of Commodity Markets, Elsevier, vol. 19(C).
  110. Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2018. "Forecasting the prices of crude oil using the predictor, economic and combined constraints," Economic Modelling, Elsevier, vol. 75(C), pages 237-245.
  111. Qian, Lihua & Zeng, Qing & Lu, Xinjie & Ma, Feng, 2022. "Global tail risk and oil return predictability," Finance Research Letters, Elsevier, vol. 47(PB).
  112. Zhang, Xincheng, 2024. "Country-level energy-related uncertainties and stock market returns: Insights from the U.S. and China," Technological Forecasting and Social Change, Elsevier, vol. 204(C).
  113. Scott Cederburg & Travis L Johnson & Michael S O’Doherty, 2023. "On the Economic Significance of Stock Return Predictability," Review of Finance, European Finance Association, vol. 27(2), pages 619-657.
  114. Nima Nonejad, 2021. "Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables," Quantitative Finance, Taylor & Francis Journals, vol. 21(8), pages 1387-1411, August.
  115. Zhang, Yaojie & Wei, Yu & Ma, Feng & Yi, Yongsheng, 2019. "Economic constraints and stock return predictability: A new approach," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 1-9.
  116. Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Variational inference for large Bayesian vector autoregressions," Papers 2202.12644, arXiv.org, revised Jun 2023.
  117. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
  118. Nima Nonejad, 2021. "Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions," Empirical Economics, Springer, vol. 61(2), pages 973-1009, August.
  119. Liu, Li & Pan, Zhiyuan, 2020. "Forecasting stock market volatility: The role of technical variables," Economic Modelling, Elsevier, vol. 84(C), pages 55-65.
  120. Procasky, William J. & Yin, Anwen, 2023. "The impact of COVID-19 on the relative market efficiency and forecasting ability of credit derivative and equity markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
  121. Allan Timmermann, 2018. "Forecasting Methods in Finance," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 449-479, November.
  122. Jian Chen & Jiaquan Yao & Qunzi Zhang & Xiaoneng Zhu, 2023. "Global Disaster Risk Matters," Management Science, INFORMS, vol. 69(1), pages 576-597, January.
  123. Qiu, Rui & Liu, Jing & Li, Yan, 2023. "Long-term adjusted volatility: Powerful capability in forecasting stock market returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
  124. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Discussion Papers 46/2020, Deutsche Bundesbank.
  125. Çepni, Oğuzhan & Guney, I. Ethem & Gupta, Rangan & Wohar, Mark E., 2020. "The role of an aligned investor sentiment index in predicting bond risk premia of the U.S," Journal of Financial Markets, Elsevier, vol. 51(C).
  126. Stivers, Adam, 2018. "Equity premium predictions with many predictors: A risk-based explanation of the size and value factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 126-140.
  127. Jiawen Xu & Pierre Perron, 2023. "Forecasting in the presence of in-sample and out-of-sample breaks," Empirical Economics, Springer, vol. 64(6), pages 3001-3035, June.
  128. Zhifeng Dai & Huiting Zhou, 2020. "Prediction of Stock Returns: Sum-of-the-Parts Method and Economic Constraint Method," Sustainability, MDPI, vol. 12(2), pages 1-13, January.
  129. Nonejad, Nima, 2022. "Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  130. repec:zbw:bofrdp:2017_001 is not listed on IDEAS
  131. Feng He & Libo Yin, 2021. "Shocks to the equity capital ratio of financial intermediaries and the predictability of stock return volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 945-962, September.
  132. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  133. Zhifeng Dai & Jie Kang & Hua Yin, 2023. "Forecasting equity risk premium: A new method based on wavelet de‐noising," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4331-4352, October.
  134. Dai, Zhifeng & Zhou, Huiting & Kang, Jie & Wen, Fenghua, 2021. "The skewness of oil price returns and equity premium predictability," Energy Economics, Elsevier, vol. 94(C).
  135. Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang, 2022. "Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 230-251, March.
  136. Yu, Fanchao, 2023. "Macroeconomic information, global economic policy uncertainty and gold futures return predictability," Finance Research Letters, Elsevier, vol. 55(PA).
  137. Procasky, William J. & Yin, Anwen, 2023. "Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  138. Yongsheng Yi & Feng Ma & Dengshi Huang & Yaojie Zhang, 2019. "Interest rate level and stock return predictability," Review of Financial Economics, John Wiley & Sons, vol. 37(4), pages 506-522, October.
  139. Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu, 2016. "Short interest and aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 121(1), pages 46-65.
  140. Nonejad, Nima, 2022. "Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact," Energy Economics, Elsevier, vol. 115(C).
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