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Instability of return prediction models. (2006). Timmermann, Allan ; Paye, Bradley S..
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315.

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  2. Stock price swings and fundamentals: The role of Knightian uncertainty. (2024). Mangee, Nicholas.
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  3. Semi-parametric single-index predictive regression models with cointegrated regressors. (2024). GAO, Jiti ; Zhou, Weilun ; Kew, Hsein ; Harris, David.
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  4. Predictive model averaging with parameter instability and heteroskedasticity. (2024). Yin, Anwen.
    In: Bulletin of Economic Research.
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  5. Optimal forecasts in the presence of discrete structural breaks under long memory. (2023). Sibbertsen, Philipp ; Mboya, Mwasi Paza.
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  6. Forecasting in the presence of in-sample and out-of-sample breaks. (2023). Perron, Pierre ; Xu, Jiawen.
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  7. Machine learning for US cross-industry return predictability under information uncertainty. (2023). Khlifi, Foued ; ben Lahouel, Bechir ; ben Zaied, Younes ; Awijen, Haithem.
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  8. Commodity futures return predictability and intertemporal asset pricing. (2023). Poti, Valerio ; Eyiah-Donkor, Emmanuel ; Cotter, John.
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  9. Conditional mean reversion of financial ratios and the predictability of returns. (2023). Tokpavi, S ; Jasinski, A ; Boucher, C.
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  11. Evaluating forecast performance with state dependence. (2023). Sekhposyan, Tatevik ; Rossi, Barbara ; Odendahl, Florens.
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  12. Penetrating sporadic return predictability. (2023). Xie, Xinling ; Tu, Yundong.
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  13. Penalized time-varying model averaging. (2023). Hong, Yongmiao ; Zhang, Xinyu ; Wang, Shouyang ; Sun, Yuying.
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  14. Asymptotic properties of Bayesian inference in linear regression with a structural break. (2023). Shimizu, Kenichi.
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  15. Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets. (2023). Yin, Anwen ; Procasky, William J.
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  20. Forecasting high?yield equity and CDS index returns: Does observed cross?market informational flow have predictive power?. (2022). Yin, Anwen ; Procasky, William J.
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  21. Using structural break inference for forecasting time series. (2022). Osborn, Denise R ; Altansukh, Gantungalag.
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  22. Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory. (2022). Sibbertsen, Philipp ; Mboya, Mwasi.
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  23. Stock Return Predictability: Evaluation based on interval forecasts. (2022). Darne, Olivier ; Kim, Jae ; Charles, Amelie.
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  24. Asymptotic properties of Bayesian inference in linear regression with a structural break. (2022). Shimizu, Kenichi.
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  25. Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns. (2022). Guidolin, Massimo ; Pedio, Manuela.
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  27. Testing for parameter instability and structural change in persistent predictive regressions. (2022). Varneskov, Rasmus T ; Andersen, Torben G.
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  28. Testing for episodic predictability in stock returns. (2022). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Georgiev, Iliyan.
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  29. Late to Recessions: Stocks and the Business Cycle. (2022). Gomezcram, Roberto.
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  30. Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie.
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  31. Asymptotic properties of Bayesian inference in linear regression with a structural break. (2022). Shimizu, Kenichi.
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  32. The reliability of geometric Brownian motion forecasts of S&P500 index values. (2021). Sinha, Amit K.
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  33. Real?time detection of regimes of predictability in the US equity premium. (2021). Taylor, Robert ; Harvey, David I ; Robert, A M ; Sollis, Robert ; Leybourne, Stephen J.
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  34. Investigation of fractal market hypothesis and forecasting time series stock returns for Tehran Stock Exchange and London Stock Exchange. (2021). Rounaghi, Mohammad Mahdi ; Moradi, Mahdi ; Nooghabi, Mehdi Jabbari.
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  35. Evaluating forecast performance with state dependence. (2021). Sekhposyan, Tatevik ; Rossi, Barbara ; Odendahl, Florens.
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  37. Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables. (2021). Nonejad, Nima.
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  38. COVID-19 and instability of stock market performance: evidence from the U.S.. (2021). Lee, Chien-Chiang ; Bian, Zhicun ; Hong, Hui.
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  40. Let’s take a smooth break: Stock return predictability revisited. (2021). Yang, Haoyi ; Luo, Shikong.
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  41. The importance of large shocks to return predictability. (2021). Truffa, Santiago ; Montecinos, Alexis ; Galindo, Hamilton ; Duarte, Diogo ; Diaz, Juan.
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  43. International stock return predictability. (2021). Smith, Simon C.
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  44. Forecasting stock returns with large dimensional factor models. (2021). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro.
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  45. Boosting high dimensional predictive regressions with time varying parameters. (2021). Ng, Serena ; Yousuf, Kashif.
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  46. Predicting equity premium using dynamic model averaging. Does the state–space representation matter?. (2021). Nonejad, Nima.
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  47. AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima.
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  48. Evaluating Forecast Performance with State Dependence. (2021). Sekhposyan, Tatevik ; Rossi, Barbara ; Odendahl, Florens.
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  49. On the directional predictability of equity premium using machine learning techniques. (2020). Iworiso, Jonathan ; Vrontos, Spyridon.
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  50. Commodity Futures Return Predictability and Intertemporal Asset Pricing. (2020). Eyiah-Donkor, Emmanuel ; Cotter, John ; Pot, Valerio.
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  56. Is fertility a leading indicator for stock returns?. (2020). Verdickt, Gertjan.
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  58. Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects. (2020). Luger, Richard ; Gungor, Sermin.
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  59. Does modeling a structural break improve forecast accuracy?. (2020). Pick, Andreas ; Boot, Tom.
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  60. A new test of asset return predictability with an unstable predictor. (2020). Chang, Seong Yeon.
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  62. Equity premium prediction and optimal portfolio decision with Bagging. (2020). Yin, Anwen.
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  63. Adaptative predictability of stock market returns. (2020). Veiga, Helena ; Lopes, Maria Helena ; Casas, Maria Isabel ; Mao, Xiuping.
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  64. Comparing Forecast Performance with State Dependence. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Odendahl, Florens.
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  65. Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara.
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  66. Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola.
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  67. Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria.
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  68. Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola.
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  69. Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel.
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  70. Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them. (2019). Rossi, Barbara.
    In: Economics Working Papers.
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  71. Testing for Episodic Predictability in Stock Returns. (2019). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M ; Georgiev, Iliyan.
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  72. Stock return predictability: Using the cyclical component of the price ratio. (2019). McMillan, David G.
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  73. Stock return predictability: Evidence from a structural model. (2019). Dladla, Pholile ; Malikane, Christopher.
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  74. Assessing the inflation hedging of gold and palladium in OECD countries. (2019). Salisu, Afees ; Oloko, Tirimisiyu ; Ndako, Umar.
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  76. Structural instability and predictability. (2019). Devpura, Neluka ; Sharma, Susan Sunila ; Narayan, Paresh Kumar.
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  77. The value premium and expected business conditions. (2019). Kirby, Chris.
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  78. Out-of-sample equity premium prediction in the presence of structural breaks. (2019). Yin, Anwen.
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  79. Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables. (2019). Salisu, Afees ; Oloko, Tirimisiyu F ; Swaray, Raymond.
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  80. Learning about banks’ net worth and the slow recovery after the financial crisis. (2019). Kuhl, Michael ; Hollmayr, Josef.
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  81. Predicting firm level stock returns: Implications for asset pricing and economic links. (2019). McMillan, David G.
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  82. Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2019). Rossi, Barbara.
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  83. Boosting High Dimensional Predictive Regressions with Time Varying Parameters. (2019). Ng, Serena ; Yousuf, Kashif.
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  84. Estimation of Structural Break Point in Linear Regression Models. (2019). Baek, Yaein.
    In: Papers.
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  85. A New Test In A Predictive Regression with Structural Breaks. (2018). Chang, Seong Yeon ; Cai, Zongwu.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
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  86. Regime shifts and stock return predictability. (2018). Hammerschmid, Regina ; Lohre, Harald.
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  87. Stock return predictability and model instability: Evidence from mainland China and Hong Kong. (2018). Hong, Hui ; Ryan, James ; Obrien, Fergal ; Chen, Naiwei.
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  88. A new GARCH model with higher moments for stock return predictability. (2018). Narayan, Paresh Kumar ; Liu, Ruipeng.
    In: Journal of International Financial Markets, Institutions and Money.
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  89. Is stock return predictability time-varying?. (2018). Devpura, Neluka ; Sharma, Susan Sunila ; Narayan, Paresh Kumar.
    In: Journal of International Financial Markets, Institutions and Money.
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  90. Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan.
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  91. World output gap and global stock returns. (2018). Atanasov, Victoria .
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  92. Testing for parameter instability in predictive regression models. (2018). Taylor, Robert ; Leybourne, Stephen ; Harvey, David ; Robert, A M ; Georgiev, Iliyan.
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  93. Predicting exchange rate with commodity prices: The role of structural breaks and asymmetries. (2018). Salisu, Afees ; Emmanuel, Zachariah ; Alimi, Wasiu A ; Adekunle, Wasiu.
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  94. Pockets of Predictability. (2018). Farmer, Leland ; Timmermann, Allan G ; Schmidt, Lawrence .
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  95. Forecasting Methods in Finance. (2018). Timmermann, Allan G.
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  96. Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models. (2018). Pettenuzzo, Davide ; Fisher, Jared D ; Carvalho, Carlos.
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  97. Forecasting in the presence of in and out of sample breaks. (2018). Perron, Pierre ; Xu, Jiawen.
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  98. Improving equity premium forecasts by incorporating structural break uncertainty. (2018). Tian, Jing ; Zhou, Qing.
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  99. Forecasting Methods in Finance. (2018). Timmermann, Allan.
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  100. Time-varying parameters: New test tailored to applications in finance and macroeconomics. (2018). Davidson, Russell ; Gronborg, Niels S.
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  103. A near optimal test for structural breaks when forecasting under square error loss. (2017). Pick, Andreas ; Boot, Tom.
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  104. Stock return predictability: the role of inflation and threshold dynamics. (2017). McMillan, David G.
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  105. Predicting stock returns in the presence of uncertain structural changes and sample noise. (2017). Mantilla Garcia, Daniel ; Vaidyanathan, Vijay ; Mantilla-Garcia, Daniel.
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  106. Time-Varying Window Length for Correlation Forecasts. (2017). McCurdy, Thomas ; Jeon, Yoontae.
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  107. Density forecast evaluation in unstable environments. (2017). Gonzalez-Rivera, Gloria ; Sun, Yingying.
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  108. Forecasting market returns: bagging or combining?. (2017). Wohar, Mark ; Jordan, Steven J ; Vivian, Andrew.
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  109. Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef.
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  110. Rolling window selection for out-of-sample forecasting with time-varying parameters. (2017). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU.
    In: Journal of Econometrics.
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  111. Dissecting models forecasting performance. (2017). Siliverstovs, Boriss.
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  112. Forecasting in the presence of in and out of sample breaks. (2017). Xu, Jiawen.
    In: Boston University - Department of Economics - Working Papers Series.
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  113. Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin.
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  114. Predicting the equity premium via its components. (2016). Menkhoff, Lukas ; Batje, Fabian .
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  115. Rolling window selection for out-of-sample forecasting with time-varying parameters. (2016). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU.
    In: Economics Working Papers.
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  116. Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence. (2016). Thomadakis, Apostolos.
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  117. Stock Return Predictability: Evaluation based on Prediction Intervals. (2016). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier.
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  118. Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K.. (2016). Peel, David ; Promponas, Pantelis .
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  119. Dividend policy and share price volatility: evidence from Colombo stock market. (2016). Jahfer, Athambawa ; Mulafara, Abdul Hameed .
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    RePEc:ids:injmfa:v:8:y:2016:i:2:p:97-108.

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  120. Stock Return Predictability: Evaluation based on prediction intervals. (2016). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier.
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  121. Investigation of market efficiency and Financial Stability between S&P 500 and London Stock Exchange: Monthly and yearly Forecasting of Time Series Stock Returns using ARMA model. (2016). Rounaghi, Mohammad Mahdi ; Zadeh, Farzaneh Nassir .
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  122. Short interest and aggregate stock returns. (2016). Zhou, Guofu ; Ringgenberg, Matthew ; Rapach, David E.
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  123. Equity premium prediction: Are economic and technical indicators unstable?. (2016). Menkhoff, Lukas ; Baetje, Fabian .
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    RePEc:eee:intfor:v:32:y:2016:i:4:p:1193-1207.

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  124. Getting the most out of macroeconomic information for predicting excess stock returns. (2016). van Dijk, Dick ; Çakmaklı, Cem ; Akmakli, Cem .
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  125. Multistep forecasting in the presence of location shifts. (2016). Chevillon, Guillaume.
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  126. Equity Premium Prediction: Are Economic and Technical Indicators Unstable?. (2016). Menkhoff, Lukas ; Baetje, Fabian .
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  127. Empirical Analysis of the Intertemporal Relationship between Downside Risk and Expected Returns: Evidence from Time†varying Transition Probability Models. (2016). Hsuan, Cathy Yia ; Chiang, Thomas C.
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  128. Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis. (2016). Guidolin, Massimo ; Vasile, Fabiola ; Pedio, Manuela ; Pra, Giulia Dal .
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  129. Equity premium prediction: Are economic and technical indicators instable?. (2015). Menkhoff, Lukas ; Baetje, Fabian .
    In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
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  130. Equity premium prediction: Are economic and technical indicators instable?. (2015). Menkhoff, Lukas ; Baetje, Fabian .
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  131. Inferring the predictability induced by a persistent regressor in a predictive threshold model. (2015). Pitarakis, Jean-Yves ; Gonzalo, Jesus.
    In: Discussion Paper Series In Economics And Econometrics.
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  132. Forecasting and model averaging with structural breaks. (2015). Yin, Anwen.
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  133. Changes in the Composition of Publicly Traded Firms: Implications for the Dividend-Price Ratio and Return Predictability. (2015). Jank, Stephan .
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  134. Industry based equity premium forecasts. (2015). Silva, Nuno Miguel Barateiro.
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  135. Time-Varying Stock Return Predictability: The Eurozone Case. (2015). Silva, Nuno Miguel Barateiro.
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  136. Nonparametric prediction of stock returns based on yearly data: The long-term view. (2015). Sperlich, Stefan ; Scholz, Michael ; Nielsen, Jens Perch.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:65:y:2015:i:c:p:143-155.

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  137. The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:42:y:2015:i:c:p:380-393.

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  138. Forecasting in the presence of in and out of sample breaks. (2015). Perron, Pierre ; Xu, Jiawen.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2015-012.

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  139. Optimal Portfolio Choice under Decision-Based Model Combinations. (2015). Ravazzolo, Francesco ; Pettenuzzo, Davide.
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  140. Inflation And The Subsequent Timing Of The Chinese Stock Market. (2014). O'Brien, Fergal ; Ryan, James ; Hong, Hui.
    In: Asian Academy of Management Journal of Accounting and Finance (AAMJAF).
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  141. Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence. (2014). Miller, Stephen ; Canarella, Giorgio ; Pollard, Stephen K..
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  142. Volatility spillovers and dynamic correlation between liquidity risk factors in Tunisian banks. (2014). Ghorbel, Achraf ; Boujelbne, Younes ; Ghorbel-Zouari, Sonia .
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  143. The international business cycle and gold-price fluctuations. (2014). Risse, Marian ; Pierdzioch, Christian ; Rohloff, Sebastian .
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  144. Forecasting stock returns under economic constraints. (2014). Pettenuzzo, Davide ; Timmermann, Allan ; Valkanov, Rossen .
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    RePEc:eee:jfinec:v:114:y:2014:i:3:p:517-553.

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  145. Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement. (2014). McMillan, David G..
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  146. Can institutions and macroeconomic factors predict stock returns in emerging markets?. (2014). Thuraisamy, Kannan ; Narayan, Seema.
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  147. Testing predictive regression models with nonstationary regressors. (2014). CAI, ZONGWU ; Wang, Yunfei .
    In: Journal of Econometrics.
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  148. Time-varying sparsity in dynamic regression models. (2014). Griffin, Jim ; Kalli, Maria.
    In: Journal of Econometrics.
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  149. Forecasting Equity Premia using Bayesian Dynamic Model Averaging. (2014). Beckmann, Joscha ; Schussler, Rainer .
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  150. Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters. (2014). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU.
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  151. Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2014). Pettenuzzo, Davide ; Timmermann, Allan G ; Gargano, Antonio .
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  152. Optimal Portfolio Choice under Decision-Based Model Combinations. (2014). Ravazzolo, Francesco ; Pettenuzzo, Davide.
    In: Working Papers.
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  153. Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2014). Pettenuzzo, Davide ; Timmermann, Allan ; Gargano, Antonio .
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  154. Sequential Learning, Predictability, and Optimal Portfolio Returns. (2014). Korteweg, Arthur ; Polson, Nicholas ; Johannes, Michael .
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  155. Some Recent Developments in Nonparametric Finance. (2013). Hong, Yongmiao ; CAI, ZONGWU.
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  156. Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence. (2013). Miller, Stephen ; Canarella, Giorgio ; Pollard, Stephen K..
    In: Working papers.
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  157. Forecasting Eurozone real-estate returns. (2013). Pierdzioch, Christian ; Hartmann, Daniel .
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  158. Estimation and Inference for Varying-coefficient Models with Nonstationary Regressors using Penalized Splines. (2013). Fang, Ying ; Chen, Haiqiang ; Li, Yingxing.
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  159. Equity Premia Predictability in the EuroZone. (2013). Silva, Nuno Miguel Barateiro.
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  160. Predicting stock returns: A regime-switching combination approach and economic links. (2013). Zhu, Jie.
    In: Journal of Banking & Finance.
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  161. A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns. (2013). Massacci, Daniele.
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  162. Forecasting Stock Returns. (2013). Rapach, David ; Zhou, Guofu.
    In: Handbook of Economic Forecasting.
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  163. Advances in Forecasting under Instability. (2013). Rossi, Barbara.
    In: Handbook of Economic Forecasting.
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  164. Forecasting Stock Returns under Economic Constraints. (2013). Pettenuzzo, Davide ; Timmermann, Allan G ; Valkanov, Rossen .
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  165. Forecasting Stock Returns under Economic Constraints. (2013). Pettenuzzo, Davide ; Timmermann, Allan ; Valkanov, Rossen .
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  166. Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability. (2012). Jank, Stephan.
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  167. The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth. (2012). Constantinides, George.
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  168. Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability. (2012). Park, Cheolbeom ; Kim, Chang-Jin.
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  169. Nonparametric prediction of stock returns guided by prior knowledge. (2012). Sperlich, Stefan ; Nielsen, Jens Perch ; Scholz, Michael.
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  170. Predictive regressions with time-varying coefficients. (2012). Halling, Michael ; Dangl, Thomas .
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  171. Testing conditional factor models. (2012). Kristensen, Dennis ; Ang, Andrew.
    In: Journal of Financial Economics.
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  172. Do return prediction models add economic value?. (2012). Timmermann, Allan ; Cenesizoglu, Tolga.
    In: Journal of Banking & Finance.
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  173. Sectoral Study of the Correlation Risk – Return for Romanian Companies. (2012). Anis, Cecilia Nicoleta ; CRISTEA, Horia Dumitru .
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  174. Long memory and structural breaks in commodity futures markets. (2011). Kellard, Neil ; Coakley, Jerry ; Dollery, Jian.
    In: Journal of Futures Markets.
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  175. An Alternative Bayesian Approach to Structural Breaks in Time Series Models. (2011). van Dijk, Dick ; Paap, Richard ; Dick J. C. van Dijk, ; van den Hauwe, Sjoerd .
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  176. Testing Conditional Factor Models. (2011). Kristensen, Dennis ; Ang, Andrew.
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  177. Out-of-sample forecast tests robust to the choice of window size. (2011). Rossi, Barbara ; Inoue, Atsushi.
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  178. Time-varying short-horizon predictability. (2011). Henkel, Sam ; Nardari, Federico ; Martin, Spencer J..
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  179. Predictability of stock returns and asset allocation under structural breaks. (2011). Timmermann, Allan ; Pettenuzzo, Davide.
    In: Journal of Econometrics.
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  180. Advances in Forecasting Under Instability. (2011). Rossi, Barbara.
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  181. Out-of-Sample Forecast Tests Robust to the Choice of Window Size. (2011). Rossi, Barbara ; Inoue, Atsushi.
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  182. Forecasting volatility: double averaging and weighted medians. (2010). Reschenhofer, Erhard .
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  183. Equity premium predictions with adaptive macro indexes. (2010). Bai, Jennie.
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  184. International stock return predictability under model uncertainty. (2010). Schrimpf, Andreas.
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  185. A reappraisal of the leading indicator properties of the yield curve under structural instability. (2010). Wang, Qingwei ; Schrimpf, Andreas.
    In: International Journal of Forecasting.
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  186. The dividend-price ratio does predict dividend growth: International evidence. (2010). Pedersen, Thomas ; Engsted, Tom.
    In: Journal of Empirical Finance.
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  187. A century of equity premium predictability and the consumption-wealth ratio: An international perspective. (2010). Valente, Giorgio ; Sarno, Lucio ; Della Corte, Pasquale.
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  188. When does the dividend-price ratio predict stock returns?. (2010). Park, Cheolbeom.
    In: Journal of Empirical Finance.
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  189. Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns. (2010). Favero, Carlo ; Tamoni, Andrea ; Gozluklu, Arie .
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  190. The relative contribution of conditional mean and volatility in bivariate returns to international stock market indices. (2009). Okada, Katsushi ; Butler, Kirt.
    In: Applied Financial Economics.
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  191. Idiosyncratic risk matters! A regime switching approach. (2009). Angelidis, Timotheos ; Tessaromatis, Nikolaos.
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  43. Macroeconomic Influences on Optimal Asset Allocation. (2002). Wickens, Michael ; Flavin, Thomas.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3144.

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  44. Alternative Models for Stock Price Dynamics. (2002). Tauchen, George ; Ghysels, Eric ; Gallant, A. ; Chernov, Mikhail.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-58.

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  45. Asset Allocation in Transition Economies.. (2002). Rockinger, Michael ; Jondeau, Eric.
    In: Working papers.
    RePEc:bfr:banfra:90.

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  46. Decisionmetrics: A Decision-Based Approach to Econometric Modeling. (2001). Skouras, Spyros.
    In: Working Papers.
    RePEc:wop:safiwp:01-11-064.

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  47. A Multivariate Model of Strategic Asset Allocation. (2001). Viceira, Luis ; Campbell, John ; Chan, Yeung Lewis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8566.

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  48. A Risk Management Approach to Optimal Asset Allocation. (2001). Wickens, Michael ; Flavin, Thomas.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n1080301.

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  49. Optimal demand for long-term bonds when returns are predictable. (2001). Gil-Bazo, Javier.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb012308.

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  50. A Multivariate Model of Strategic Asset Allocation. (2001). Viceira, Luis ; Campbell, John ; Chan, Yeung Lewis.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3070.

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