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Non-linear predictability in stock and bond returns: when and where is it exploitable?. (2009). Hyde, Stuart ; Guidolin, Massimo ; McMillan, David ; Ono, Sadayuki .
In: Working Papers.
RePEc:fip:fedlwp:2008-010.

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  2. Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019). (2022). Vogl, Markus.
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  3. Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data. (2022). Pierdzioch, Christian ; Gupta, Rangan ; Balcilar, Mehmet.
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  4. Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More Than A Century of Data. (2022). Gupta, Rangan ; Pierdzioch, Christian ; Balcilar, Mehmet.
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  5. Commodity Prices and Forecastability of South African Stock Returns Over a Century: Sentiments versus Fundamentals. (2021). Salisu, Afees ; GUPTA, RANGAN.
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  6. Bond return predictability: Evidence from 25 OECD countries. (2021). Sharma, Susan Sunila ; Narayan, Paresh Kumar ; Devpura, Neluka.
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  7. Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings. (2021). GUPTA, RANGAN ; Wohar, Mark E ; Kanda, Patrick.
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  8. Absolute Value Constraint: The Reason for Invalid Performance Evaluation Results of Neural Network Models for Stock Price Prediction. (2021). Wei, YI ; Tiu, Cristian ; Chaudhary, Vipin.
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  9. Portfolio creation using artificial neural networks and classification probabilities: a Canadian study. (2020). Comeau, Jules ; Morris, Tania.
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  10. Movements in international bond markets: The role of oil prices. (2020). GUPTA, RANGAN ; Bouri, Elie ; Nazlioglu, Saban.
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  11. Oil price uncertainty and movements in the US government bond risk premia. (2020). Wang, Shixuan ; GUPTA, RANGAN ; Balcilar, Mehmet ; Wohar, Mark E.
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  12. Evaluation of forecasting methods from selected stock market returns. (2019). Mallikarjuna, Mejari ; Rao, Prabhakara R.
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  13. Movements in International Bond Markets: The Role of Oil Prices. (2019). GUPTA, RANGAN ; Bouri, Elie ; Nazlioglu, Saban.
    In: Working Papers.
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  14. Modeling local trends with regime shifting models with time-varying probabilities. (2019). Mazza, Davide ; Fabozzi, Frank J ; Focardi, Sergio M.
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  15. Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings. (2018). Wohar, Mark ; Kanda, Patrick ; GUPTA, RANGAN.
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  16. Distribuciones no normales para la selección de activos en el mercado Colombiano. (2018). Galeano, Andres Felipe.
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  17. Stock return predictability: the role of inflation and threshold dynamics. (2017). McMillan, David G.
    In: International Review of Applied Economics.
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  18. Linear and nonlinear predictability in investment style factors: multivariate evidence. (2017). Guidolin, Massimo ; Chincoli, Francesco .
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  19. Forecasting market returns: bagging or combining?. (2017). Wohar, Mark ; Jordan, Steven J ; Vivian, Andrew.
    In: International Journal of Forecasting.
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  20. Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco .
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  21. Nonparametric long term prediction of stock returns with generated bond yields. (2016). Sperlich, Stefan ; Nielsen, Jens Perch ; Scholz, Michael.
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  22. 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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  23. IS PAIRS TRADING PERFORMANCE SENSITIVE TO THE METHODOLOGIES?: A COMPARISON. (2016). Caldas, Bruno ; Moura, Guilherme Vale ; Caldeira, Joo Frois .
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  25. Predictability dynamics of Islamic and conventional equity markets. (2015). Sensoy, Ahmet ; Hacihasanoglu, Erk ; Åžensoy, Ahmet ; Aras, Guler.
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  26. Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models?. (2014). Simo-Kengne, Beatrice Desiree ; Hammoudeh, Shawkat ; GUPTA, RANGAN ; Simo -Kengne, Beatrice D. ; Sarafrazi, Soodabeh.
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  27. Are CDS spreads predictable? An analysis of linear and non-linear forecasting models. (2014). Avino, Davide ; Nneji, Ogonna .
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  28. Level shifts in stock returns driven by large shocks. (2014). Tzavalis, Elias ; Dendramis, Yiannis ; Kapetanios, George.
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  29. A nonlinear panel data model of cross-sectional dependence. (2014). shin, yongcheol ; Mitchell, James ; Kapetanios, George.
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  30. Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions. (2014). Hammoudeh, Shawkat ; GUPTA, RANGAN ; Alvarez-Diaz, Marcos.
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  31. A Nonlinear Panel Data Model of Cross-Sectional Dependence. (2013). shin, yongcheol ; Mitchell, James ; Kapetanios, George.
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  32. Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions. (2013). Hammoudeh, Shawkat ; GUPTA, RANGAN ; Alvarez-Diaz, Marcos.
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  33. Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?. (2013). Simo-Kengne, Beatrice Desiree ; Hammoudeh, Shawkat ; GUPTA, RANGAN ; Simo -Kengne, Beatrice D. ; Sarafrazi, Soodabeh.
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  40. Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns. (2012). Gooijer, Jan G. ; Diks, Cees ; Jan G. De Gooijer, Cees G. H. Diks, Łukasz T. Gą, .
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  41. A Nonlinear Panel Data Model of Cross-Sectional Dependence. (2012). shin, yongcheol ; Mitchell, James ; Kapetanios, George.
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  42. Nonparametric prediction of stock returns with generated bond yields. (2012). Sperlich, Stefan ; Nielsen, Jens Perch ; Scholz, Michael.
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  43. Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment. (2012). Hyde, Stuart ; Guidolin, Massimo.
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  45. Markov Switching Models in Empirical Finance. (2011). Guidolin, Massimo.
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  46. A Nonlinear Panel Model of Cross-sectional Dependence. (2010). shin, yongcheol ; Mitchell, James ; Kapetanios, George.
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  47. A Nonlinear Panel Model of Cross-sectional Dependence. (2010). Mitchell, James ; Shin, Yongcheol ; Kapetanios, George.
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  48. The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models. (2010). Escanciano, Juan Carlos.
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  49. Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective. (2010). Hyde, Stuart ; Guidolin, Massimo.
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  50. Predictable return distributions. (2010). Pedersen, Thomas.
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  51. Information Flows around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns. (2009). Cees G. H. Diks, ; Gatarek, Lukasz T. ; De Gooijer, Jan G..
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Documents in RePEc which have cited the same bibliography

  1. Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach. (2021). Tiwari, Aviral ; Raheem, Ibrahim ; Hille, Erik.
    In: MPRA Paper.
    RePEc:pra:mprapa:106684.

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  2. Measuring contagion between energy market and stock market during financial crisis: A copula approach. (2012). Huang, Dengshi ; Wei, YU ; Wen, Xiaoqian.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:5:p:1435-1446.

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  3. Time-varying performance of international mutual funds. (2012). Zhang, Chengping ; Turtle, H. J..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:3:p:334-348.

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  4. Moments of multivariate regime switching with application to risk-return trade-off. (2012). Taamouti, Abderrahim.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:2:p:292-308.

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  5. Contagion in International Stock Markets during the Sub Prime Mortgage Crisis. (2012). Lee, Hsien-Yi .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2012-01-6.

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  6. Inflation hedging portfolios in different regimes. (2011). Briere, Marie ; Signori, Ombretta.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-08.

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  7. Components of bull and bear markets: bull corrections and bear rallies. (2010). Song, Yong ; McCurdy, Tom ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-402.

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  8. Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies. (2008). Hyde, Stuart ; Bredin, Don.
    In: European Financial Management.
    RePEc:bla:eufman:v:14:y:2008:i:2:p:315-346.

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  9. Managing international portfolios with small capitalization stocks. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2007-030.

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  10. 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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  11. What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model. (2007). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-029.

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  12. Small caps in international equity portfolios: the effects of variance risk. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-075.

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  13. Information processing and measures of integration: New York, London and Tokyo. (2006). Thorp, Susan ; Milunovich, George.
    In: Research Paper Series.
    RePEc:uts:rpaper:177.

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  14. Structural versus Temporary Drivers of Country and Industry Risk. (2006). Inghelbrecht, Koen ; Baele, Lieven.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:06/413.

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  15. Economic and Financial Crises and the Predictability of U.S. Stock Returns. (2006). Pierdzioch, Christian ; Kempa, Bernd ; Hartmann, Daniel.
    In: MPRA Paper.
    RePEc:pra:mprapa:561.

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  16. Implied correlation from VaR. (2006). cotter, john ; Longin, Francois.
    In: MPRA Paper.
    RePEc:pra:mprapa:3506.

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  17. Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures. (2006). Zhang, Xibin ; Silvapulle, Param.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2006-9.

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  18. Shift versus traditional contagion in Asian markets. (2006). Panopoulou, Ekaterini ; Flavin, Thomas.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp176.

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  19. International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility. (2006). Panopoulou, Ekaterini ; Flavin, Thomas.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp167.

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  20. Asset allocation under multivariate regime switching. (2006). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-002.

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  21. Selecting Copulas for Risk Management. (2006). Verbeek, Marno ; Kole, Erik ; Koedijk, Kees .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5652.

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  22. Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency. (2006). Peel, David ; Minford, A. Patrick ; Meenagh, David.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5614.

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  23. Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models. (2006). Georgoutsos, Dimitris ; Bekiros, Stelios.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:06-17.

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  24. Structural versus Temporary Drivers of Country and Industry Risk. (2005). Inghelbrecht, Koen ; Baele, Lieven.
    In: International Finance.
    RePEc:wpa:wuwpif:0511005.

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  25. Portfolio Selection with Two-Stage Preferences. (2005). Taboga, Marco.
    In: Finance.
    RePEc:wpa:wuwpfi:0506009.

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  26. Asymmetric Risk and International Portfolio Choice. (2005). Thorp, Susan ; Milunovich, George.
    In: Research Paper Series.
    RePEc:uts:rpaper:160.

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  27. Dynamic bond portfolio choice in a model with Gaussian diffusion regimes. (2005). João Liborio, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:11:y:2005:i:3:p:259-270.

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  28. Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence. (2005). Wohar, Mark ; Rapach, David E..
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:329.

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  29. Learning Under Ambiguity. (2005). Schneider, Martin ; Epstein, Larry.
    In: RCER Working Papers.
    RePEc:roc:rocher:497.

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  30. Size and value anomalies under regime shifts. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-007.

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  31. Optimal portfolio choice under regime switching, skew and kurtosis preferences. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-006.

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  32. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-003.

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  33. Density selection and combination under model ambiguity: an application to stock returns. (2005). D'Amico, Stefania.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-09.

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  34. Measuring comovements by regression quantiles. (2005). Manganelli, Simone ; Gerard, Bruno ; Cappiello, Lorenzo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005501.

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  35. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. (2005). Viceira, Luis ; Chacko, George .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4913.

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  36. Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices. (2005). Sancetta, Alessio ; Nikanrova, Arina.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0516.

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  37. Density Estimation and Combination under Model Ambiguity. (2004). D'Amico, Stefania.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:273.

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  38. International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000. (2004). cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3538.

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  39. The effect of the Euro on country versus industry portfolio diversification. (2004). Flavin, Thomas.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n1411004.

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  40. A Two-State Capital Asset Pricing Model with Unobservable States. (2004). Nilsson, Birger ; Hansson, Björn.
    In: Working Papers.
    RePEc:hhs:lunewp:2004_028.

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  41. The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles. (2004). Manganelli, Simone ; Cappiello, Lorenzo ; Gerard, Bruno .
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:77.

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  42. Myopic Loss Aversion, Asymmetric Correlations, and the Home Bias. (2004). Carvalho, Carlos ; Amonlirdviman, Kevin .
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:61.

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  43. That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds. (2004). Thorp, Susan.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:148.

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  44. ARE VECTOR AUTOREGRESSIONS AND ACCURATE MODEL FOR DYNAMIC ASSET ALLOCATION?. (2004). Pearanda, Francisco .
    In: Working Papers.
    RePEc:cmf:wpaper:wp2004_0419.

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  45. Volatility Spillover Effects in European Equity Markets. (2003). Baele, Lieven.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:03/189.

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  46. How do Regimes Affect Asset Allocation?. (2003). Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10080.

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  47. Explaining movements in UK stock prices:. (2003). Sensier, Marianne ; Osborn, Denise ; Aslanidis, Nektarios.
    In: Working Papers.
    RePEc:crt:wpaper:0302.

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  48. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, M.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_875.

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  49. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0306.

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  50. International diversification strategies. (2002). Del Negro, Marco ; Brooks, Robin.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2002-23.

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