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The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns. (2007). Guidolin, Massimo ; Na, Carrie Fangzhou.
In: Working Papers.
RePEc:fip:fedlwp:2006-059.

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Cited: 10

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Cites: 59

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Cocites: 45

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  1. Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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  2. Forecasting the realized volatility in the Chinese stock market: further evidence. (2016). Pu, Wang ; Ma, Feng ; Chen, Yixiang.
    In: Applied Economics.
    RePEc:taf:applec:v:48:y:2016:i:33:p:3116-3130.

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  3. On the correlation between commodity and equity returns: implications for portfolio allocation. (2013). Lombardi, Marco.
    In: BIS Working Papers.
    RePEc:bis:biswps:420.

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  4. Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value. (2012). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:igi:igierp:455.

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  5. Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective. (2012). Hyde, Stuart ; Guidolin, Massimo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:3:p:695-716.

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  6. Oil price density forecasts: Exploring the linkages with stock markets. (2012). Ravazzolo, Francesco ; Lombardi, Marco.
    In: Working Papers.
    RePEc:bny:wpaper:0008.

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  7. Oil price density forecasts: exploring the linkages with stock markets. (2012). Ravazzolo, Francesco ; Lombardi, Marco.
    In: Working Paper.
    RePEc:bno:worpap:2012_24.

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  8. Markov Switching Models in Empirical Finance. (2011). Guidolin, Massimo.
    In: Working Papers.
    RePEc:igi:igierp:415.

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  9. Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective. (2011). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
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  10. Regime shifts in mean-variance efficient frontiers: some international evidence. (2010). Guidolin, Massimo ; Ria, Federica .
    In: Working Papers.
    RePEc:fip:fedlwp:2010-040.

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References

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