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Market Timing and Return Prediction under Model Instability
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Cited by:
- Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
- Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2007.
"Learning, Structural Instability, and Present Value Calculations,"
Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 253-288.
- Pesaran, Mohammad Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2006. "Learning, structural instability and present value calculations," Discussion Paper Series 1: Economic Studies 2006,27, Deutsche Bundesbank.
- Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2006. "Learning, Structural Instability and Present Value Calculations," Cambridge Working Papers in Economics 0602, Faculty of Economics, University of Cambridge.
- Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," IEPR Working Papers 06.42, Institute of Economic Policy Research (IEPR).
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," CESifo Working Paper Series 1650, CESifo.
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, structural instability and present value calculations," Computing in Economics and Finance 2006 529, Society for Computational Economics.
- Tae‐Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022.
"Forecasting Under Structural Breaks Using Improved Weighted Estimation,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(6), pages 1485-1501, December.
- Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022. "Forecasting under Structural Breaks Using Improved Weighted Estimation," Working Papers 202210, University of California at Riverside, Department of Economics.
- Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022. "Forecasting under Structural Breaks Using Improved Weighted Estimation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202212, University of Kansas, Department of Economics.
- Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
- Andrew Ang & Allan Timmermann, 2012.
"Regime Changes and Financial Markets,"
Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337, October.
- Timmermann, Allan & Ang, Andrew, 2011. "Regime Changes and Financial Markets," CEPR Discussion Papers 8480, C.E.P.R. Discussion Papers.
- Andrew Ang & Allan Timmermann, 2011. "Regime Changes and Financial Markets," NBER Working Papers 17182, National Bureau of Economic Research, Inc.
- Jaehun Chung & Yongmiao Hong, 2013. "Model-Free Evaluation of Directional Predictability in Foreign Exchange," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- González-Rivera, Gloria & Sun, Yingying, 2017.
"Density forecast evaluation in unstable environments,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 416-432.
- Gloria Gonzalez-Rivera & Yingying Sun, 2014. "Density Forecast Evaluation in Unstable Environments," Working Papers 201428, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Yingying Sun, 2016. "Density Forecast Evaluation in Unstable Environments," Working Papers 201606, University of California at Riverside, Department of Economics.
- Yao, Juan & Gao, Jiti & Alles, Lakshman, 2005. "Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information," Pacific-Basin Finance Journal, Elsevier, vol. 13(2), pages 225-245, March.
- Jing Tian & Heather M. Anderson, 2011. "Forecasting Under Strucural Break Uncertainty," Monash Econometrics and Business Statistics Working Papers 8/11, Monash University, Department of Econometrics and Business Statistics.
- Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
- Pesaran, M. Hashem & Timmermann, Allan, 2004.
"How costly is it to ignore breaks when forecasting the direction of a time series?,"
International Journal of Forecasting, Elsevier, vol. 20(3), pages 411-425.
- Pesaran, H.M. & Timmermann, A., 2003. "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," Cambridge Working Papers in Economics 0306, Faculty of Economics, University of Cambridge.
- Allan Timmermann & M. Hashem Pesaran, 2003. "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," CESifo Working Paper Series 875, CESifo.
- Kumar, Nikeel Nishkar & Patel, Arvind, 2023. "Nonlinear effect of air travel tourism demand on economic growth in Fiji," Journal of Air Transport Management, Elsevier, vol. 109(C).
- Henriques, Irene & Sadorsky, Perry, 2023. "Forecasting rare earth stock prices with machine learning," Resources Policy, Elsevier, vol. 86(PA).
- John M. Maheu & Stephen Gordon, 2008.
"Learning, forecasting and structural breaks,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 553-583.
- John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
- John M Maheu & Stephen Gordon, 2007. "Learning, Forecasting and Structural Breaks," Working Papers tecipa-284, University of Toronto, Department of Economics.
- Caterina Forti Grazzini & Massimo Guidolin, 2013. "Forecasting yield spreads under crisis-induced multiple breakpoints," Applied Economics Letters, Taylor & Francis Journals, vol. 20(18), pages 1656-1664, December.
- Sun, Yuying & Hong, Yongmiao & Wang, Shouyang & Zhang, Xinyu, 2023. "Penalized time-varying model averaging," Journal of Econometrics, Elsevier, vol. 235(2), pages 1355-1377.
- Hui Hong & Fergal O'Brien & James Ryan, 2014. "Inflation And The Subsequent Timing Of The Chinese Stock Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 10(2), pages 13-35.
- Nyberg, Henri & Pönkä, Harri, 2016.
"International sign predictability of stock returns: The role of the United States,"
Economic Modelling, Elsevier, vol. 58(C), pages 323-338.
- Henri Nyberg & Harri Pönkä, 2015. "International Sign Predictability of Stock Returns: The Role of the United States," CREATES Research Papers 2015-20, Department of Economics and Business Economics, Aarhus University.
- Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. Van Dijk & Marno Verbeek, 2010.
"Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 251-269.
- Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek, 2009. "Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights," Tinbergen Institute Discussion Papers 09-061/4, Tinbergen Institute.
- Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek, 2009. "Forecast accuracy and economic gains from Bayesian model averaging using time varying weight," Working Paper 2009/10, Norges Bank.
- Alptekin, Aynur & Broadstock, David C. & Chen, Xiaoqi & Wang, Dong, 2019. "Time-varying parameter energy demand functions: Benchmarking state-space methods against rolling-regressions," Energy Economics, Elsevier, vol. 82(C), pages 26-41.
- Wang, Yudong & Hao, Xianfeng, 2022. "Forecasting the real prices of crude oil: A robust weighted least squares approach," Energy Economics, Elsevier, vol. 116(C).
- Chatzitzisi, Evanthia & Fountas, Stilianos & Panagiotidis, Theodore, 2021.
"Another look at calendar anomalies,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 823-840.
- Evanthia Chatzitzisi & Stilianos Fountas & Theodore Panagiotidis, 2019. "Another Look at Calendar Anomalies," Working Paper series 19-07, Rimini Centre for Economic Analysis.
- Evanthia Chatzitzisi & Stilianos Fountas & Theodore Panagiotidis, 2019. "Another Look at Calendar Anomalies," Discussion Paper Series 2019_02, Department of Economics, University of Macedonia, revised Feb 2019.
- Clark, Todd E. & McCracken, Michael W., 2006.
"The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1127-1148, August.
- Todd E. Clark & Michael W. McCracken, 2003. "The predictive content of the output gap for inflation : resolving in-sample and out-of-sample evidence," Research Working Paper RWP 03-06, Federal Reserve Bank of Kansas City.
- Michael W. McCracken & Todd E. Clark, 2003. "The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence," Computing in Economics and Finance 2003 183, Society for Computational Economics.
- Massimo Guidolin & Alexei G. Orlov, 2022.
"Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence,"
Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 1-61, September.
- Massimo Guidolin & Alexei G. Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1887, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Massimo Guidolin & Alexei Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1890, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Dellas, Harris & Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2018. "The macroeconomic and fiscal implications of inflation forecast errors," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 203-217.
- Russell Davidson & Niels S. Grønborg, 2018. "Time-varying parameters: New test tailored to applications in finance and macroeconomics," CREATES Research Papers 2018-22, Department of Economics and Business Economics, Aarhus University.
- repec:awi:wpaper:0472 is not listed on IDEAS
- Davide De Gaetano, 2016. "Forecast Combinations For Realized Volatility In Presence Of Structural Breaks," Departmental Working Papers of Economics - University 'Roma Tre' 0208, Department of Economics - University Roma Tre.
- Koo, Bonsoo & Seo, Myung Hwan, 2015.
"Structural-break models under mis-specification: Implications for forecasting,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 166-181.
- Boonsoo Koo & Myung Hwan Seo, 2013. "Structural-break models under mis-specification: implications for forecasting," Monash Econometrics and Business Statistics Working Papers 8/13, Monash University, Department of Econometrics and Business Statistics.
- Boonsoo Koo & Myung Hwan Seo, 2013. "Structural-break models under mis-specification: implications for forecasting," Monash Econometrics and Business Statistics Working Papers 11/13, Monash University, Department of Econometrics and Business Statistics.
- Marco Aiolfi & Carlo Ambrogio Favero, "undated".
"Model Uncertainty, Thick Modelling and the predictability of Stock Returns,"
Working Papers
221, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Favero, Carlo A. & Aiolfi, Marco, 2003. "Model Uncertainty, Thick Modelling and the Predictability of Stock Returns," CEPR Discussion Papers 3997, C.E.P.R. Discussion Papers.
- Todd E. Clark & Michael W. McCracken, 2009.
"Combining Forecasts from Nested Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 303-329, June.
- Todd E. Clark & Michael W. McCracken, 2006. "Combining forecasts from nested models," Research Working Paper RWP 06-02, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael W. McCracken, 2007. "Combining forecasts from nested models," Finance and Economics Discussion Series 2007-43, Board of Governors of the Federal Reserve System (U.S.).
- Todd E. Clark & Michael W. McCracken, 2008. "Combining forecasts from nested models," Working Papers 2008-037, Federal Reserve Bank of St. Louis.
- Raffaella Giacomini & Barbara Rossi, 2013. "Forecasting in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 17, pages 381-408, Edward Elgar Publishing.
- Colino, Evelyn V. & Irwin, Scott H. & Garcia, Philip, 2008. "How Much Can Outlook Forecasts be Improved? An Application to the U.S. Hog Market," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37620, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Christian Pierdzioch & Daniel Hartmann, 2013. "Forecasting Eurozone real-estate returns," Applied Financial Economics, Taylor & Francis Journals, vol. 23(14), pages 1185-1196, July.
- Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
- Davide De Gaetano, 2018. "Forecast Combinations in the Presence of Structural Breaks: Evidence from U.S. Equity Markets," Mathematics, MDPI, vol. 6(3), pages 1-19, March.
- Eric Hillebrand & Tae-Hwy Lee & Marcelo C. Medeiros, 2012.
"Let's Do It Again: Bagging Equity Premium Predictors,"
CREATES Research Papers
2012-41, Department of Economics and Business Economics, Aarhus University.
- Erik Hillebrand & Tae-Hwy Lee & Marcelo Cunha Medeiros, 2012. "Let´s do it again: bagging equity premium predictors," Textos para discussão 604, Department of Economics PUC-Rio (Brazil).
- Pesaran, M. Hashem & Pick, Andreas & Pranovich, Mikhail, 2013. "Optimal forecasts in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 134-152.
- Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City.
- McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong, 2012. "Nonlinearity and smoothing in venture capital performance data," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 782-795.
- Sander, Magnus, 2018. "Market timing over the business cycle," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 130-145.
- Campisi, Giovanni & Muzzioli, Silvia & De Baets, Bernard, 2024. "A comparison of machine learning methods for predicting the direction of the US stock market on the basis of volatility indices," International Journal of Forecasting, Elsevier, vol. 40(3), pages 869-880.
- Cederburg, Scott & O’Doherty, Michael S. & Wang, Feifei & Yan, Xuemin (Sterling), 2020. "On the performance of volatility-managed portfolios," Journal of Financial Economics, Elsevier, vol. 138(1), pages 95-117.
- Pesaran, Hashem & Timmermann, Allan, 2005.
"Real-Time Econometrics,"
Econometric Theory, Cambridge University Press, vol. 21(1), pages 212-231, February.
- M. Hashem Pesaran & Allan Timmermann, 2004. "Real Time Econometrics," CESifo Working Paper Series 1169, CESifo.
- Pesaran, M.H. & Timmermann, A., 2004. "‘Real Time Econometrics’," Cambridge Working Papers in Economics 0432, Faculty of Economics, University of Cambridge.
- Pesaran, M. Hashem & Timmermann, Allan, 2004. "Real Time Econometrics," CEPR Discussion Papers 4402, C.E.P.R. Discussion Papers.
- Pesaran, M. Hashem & Timmermann, Allan, 2004. "Real Time Econometrics," IZA Discussion Papers 1108, Institute of Labor Economics (IZA).
- Kocenda, Evzen, 2005.
"Beware of breaks in exchange rates: Evidence from European transition countries,"
Economic Systems, Elsevier, vol. 29(3), pages 307-324, September.
- Evzen Kocenda, 1999. "Detecting Structural Breaks: Exchange Rates in Transition Economies," CERGE-EI Working Papers wp149, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Evzen Kocenda, 2001. "Detecting Structural Breaks: Exchange Rates in Transition Economies," Development and Comp Systems 0012009, University Library of Munich, Germany.
- KoÄ enda, Evžen, 2000. "Detecting Structural Breaks in Exchange Rates in Transition Economies," CEPR Discussion Papers 2546, C.E.P.R. Discussion Papers.
- Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 1-18.
- Yang Yang & Tae-Hwy Lee, 2004. "Bagging Binary Predictors for Time Series," Econometric Society 2004 Far Eastern Meetings 512, Econometric Society.
- Patrick McGlenchy & Paul Kofman, 2004. "Structurally Sound Dynamic Index Futures Hedging," Econometric Society 2004 Australasian Meetings 80, Econometric Society.
- Daniele Bianchi & Kenichiro McAlinn, 2018. "Large-Scale Dynamic Predictive Regressions," Papers 1803.06738, arXiv.org.
- Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk, 2011. "An Alternative Bayesian Approach to Structural Breaks in Time Series Models," Tinbergen Institute Discussion Papers 11-023/4, Tinbergen Institute.
- Roch, Oriol, 2013. "Histogram-based prediction of directional price relatives," Finance Research Letters, Elsevier, vol. 10(3), pages 110-115.
- Pesaran, M. Hashem & Timmermann, Allan, 2005.
"Small sample properties of forecasts from autoregressive models under structural breaks,"
Journal of Econometrics, Elsevier, vol. 129(1-2), pages 183-217.
- Allan Timmermann & M. Hashem Pesaran, 2003. "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," CESifo Working Paper Series 990, CESifo.
- Pesaran, M. Hashem & Timmermann, Allan, 2004. "Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks," CEPR Discussion Papers 4401, C.E.P.R. Discussion Papers.
- Pesaran, M.H. & Timmermann, A., 2003. "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," Cambridge Working Papers in Economics 0331, Faculty of Economics, University of Cambridge.
- Çakmaklı, Cem & van Dijk, Dick, 2016. "Getting the most out of macroeconomic information for predicting excess stock returns," International Journal of Forecasting, Elsevier, vol. 32(3), pages 650-668.
- Smith, Simon C. & Timmermann, Allan & Zhu, Yinchu, 2019. "Variable selection in panel models with breaks," Journal of Econometrics, Elsevier, vol. 212(1), pages 323-344.
- Tae‐Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022.
"Optimal forecast under structural breaks,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 965-987, August.
- Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022. "Optimal Forecast under Structural Breaks," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202207, University of Kansas, Department of Economics.
- Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022. "Optimal Forecast under Structural Breaks," Working Papers 202208, University of California at Riverside, Department of Economics.
- Demetrescu, Matei & Rodrigues, Paulo M.M., 2022.
"Residual-augmented IVX predictive regression,"
Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2016. "Residual-augmented IVX predictive regression," Working Papers w201605, Banco de Portugal, Economics and Research Department.
- Adam Canopius, 2006. "Practitioners' Corner," Journal of Financial Econometrics, Oxford University Press, vol. 4(2), pages 346-351.
- Elliott, Graham & Muller, Ulrich K., 2007.
"Confidence sets for the date of a single break in linear time series regressions,"
Journal of Econometrics, Elsevier, vol. 141(2), pages 1196-1218, December.
- Elliott, Graham & Muller, Ulrich K., 2004. "Confidence Sets for the Date of a Single Break in Linear Time Series Regressions," University of California at San Diego, Economics Working Paper Series qt9hf4j4c2, Department of Economics, UC San Diego.
- Pönkä, Harri, 2016.
"Real oil prices and the international sign predictability of stock returns,"
Finance Research Letters, Elsevier, vol. 17(C), pages 79-87.
- Pönkä, Harri, 2015. "Real oil prices and the international sign predictability of stock returns," MPRA Paper 68330, University Library of Munich, Germany.
- Todd E. Clark & Michael W. McCracken, 2009.
"Improving Forecast Accuracy By Combining Recursive And Rolling Forecasts,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(2), pages 363-395, May.
- Todd E. Clark & Michael W. McCracken, 2004. "Improving forecast accuracy by combining recursive and rolling forecasts," Research Working Paper RWP 04-10, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael W. McCracken, 2008. "Improving forecast accuracy by combining recursive and rolling forecasts," Working Papers 2008-028, Federal Reserve Bank of St. Louis.
- Clark, Todd E. & McCracken, Michael W., 2005. "The power of tests of predictive ability in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 124(1), pages 1-31, January.
- Hong, Hui & Chen, Naiwei & O’Brien, Fergal & Ryan, James, 2018. "Stock return predictability and model instability: Evidence from mainland China and Hong Kong," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 132-142.
- El-Shazly, Alaa, 2016. "Structural breaks and monetary dynamics: A time series analysis," Economic Modelling, Elsevier, vol. 53(C), pages 133-143.
- Syed Abul, Basher & Perry, Sadorsky, 2022. "Forecasting Bitcoin price direction with random forests: How important are interest rates, inflation, and market volatility?," MPRA Paper 113293, University Library of Munich, Germany.
- Timmermann, Allan & Granger, Clive W. J., 2004.
"Efficient market hypothesis and forecasting,"
International Journal of Forecasting, Elsevier, vol. 20(1), pages 15-27.
- Timmermann, Allan & Granger, Clive, 2002. "Efficient Market Hypothesis and Forecasting," CEPR Discussion Papers 3593, C.E.P.R. Discussion Papers.
- Shahnaz Parsaeian, 2023. "Structural Breaks in Seemingly Unrelated Regression Models," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202308, University of Kansas, Department of Economics.
- Francesco Battaglia & Mattheos Protopapas, 2012. "Multi–regime models for nonlinear nonstationary time series," Computational Statistics, Springer, vol. 27(2), pages 319-341, June.
- Raffaella Giacomini & Barbara Rossi, 2015.
"Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models,"
Annual Review of Economics, Annual Reviews, vol. 7(1), pages 207-229, August.
- Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in nonstationary environments: What works and what doesn't in reduced-form and structural models," Economics Working Papers 1476, Department of Economics and Business, Universitat Pompeu Fabra.
- Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Working Papers 819, Barcelona School of Economics.
- Anne Vila Wetherilt & Simon Wells, 2004. "Long-horizon equity return predictability: some new evidence for the United Kingdom," Bank of England working papers 244, Bank of England.
- Henriques, Irene & Sadorsky, Perry, 2023. "Forecasting NFT coin prices using machine learning: Insights into feature significance and portfolio strategies," Global Finance Journal, Elsevier, vol. 58(C).
- Czinkota, Thomas, 2012. "Das Halteproblem bei Strukturbrüchen in Finanzmarktzeitreihen [The Halting Problem applied to Structural Breaks in Financial Time Series]," MPRA Paper 37072, University Library of Munich, Germany.
- Rossi, Barbara, 2013.
"Advances in Forecasting under Instability,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324,
Elsevier.
- Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
- Maheu, John M. & McCurdy, Thomas H., 2009.
"How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27, pages 95-112.
- John M Maheu & Thomas H McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Papers tecipa-293, University of Toronto, Department of Economics.
- John M. Maheu & Thomas H. McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Paper series 19_07, Rimini Centre for Economic Analysis.
- Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian, 2008.
"Economic and financial crises and the predictability of U.S. stock returns,"
Journal of Empirical Finance, Elsevier, vol. 15(3), pages 468-480, June.
- Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian, 2006. "Economic and Financial Crises and the Predictability of U.S. Stock Returns," MPRA Paper 561, University Library of Munich, Germany.
- Graham Elliott & Allan Timmermann, 2016.
"Forecasting in Economics and Finance,"
Annual Review of Economics, Annual Reviews, vol. 8(1), pages 81-110, October.
- Timmermann, Allan & Elliott, Graham, 2016. "Forecasting in Economics and Finance," CEPR Discussion Papers 11354, C.E.P.R. Discussion Papers.
- Elliott, Graham & Timmermann, Allan G, 2016. "Forecasting in Economics and Finance," University of California at San Diego, Economics Working Paper Series qt6z55v472, Department of Economics, UC San Diego.
- Anatolyev, Stanislav, 2009.
"Nonparametric Retrospection and Monitoring of Predictability of Financial Returns,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 149-160.
- Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, New Economic School (NES).
- Dichtl, Hubert & Drobetz, Wolfgang & Neuhierl, Andreas & Wendt, Viktoria-Sophie, 2021. "Data snooping in equity premium prediction," International Journal of Forecasting, Elsevier, vol. 37(1), pages 72-94.
- Mai Dao & Davide Furceri & Mr. Prakash Loungani, 2014. "Regional Labor Market Adjustments in the United States and Europe," IMF Working Papers 2014/026, International Monetary Fund.
- Jan Verbesselt & Achim Zeileis & Martin Herold, 2011. "Near Real-Time Disturbance Detection in Terrestrial Ecosystems Using Satellite Image Time Series: Drought Detection in Somalia," Working Papers 2011-18, Faculty of Economics and Statistics, Universität Innsbruck.
- 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.
- Baetje, Fabian & Menkhoff, Lukas, 2016.
"Equity premium prediction: Are economic and technical indicators unstable?,"
International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
- Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy (IfW Kiel).
- Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113079, Verein für Socialpolitik / German Economic Association.
- Fabian Baetje & Lukas Menkhoff, 2016. "Equity Premium Prediction: Are Economic and Technical Indicators Unstable?," Discussion Papers of DIW Berlin 1552, DIW Berlin, German Institute for Economic Research.
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006.
"Forecasting Time Series Subject to Multiple Structural Breaks,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 73(4), pages 1057-1084.
- Pesaran, M. Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," IZA Discussion Papers 1196, Institute of Labor Economics (IZA).
- Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2004. "‘Forecasting Time Series Subject to Multiple Structural Breaks’," Cambridge Working Papers in Economics 0433, Faculty of Economics, University of Cambridge.
- Pesaran, M. Hashem & Timmermann, Allan & Pettenuzzo, Davide, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," CEPR Discussion Papers 4636, C.E.P.R. Discussion Papers.
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