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Predictability of stock returns: Robustness and economic significance

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MH Pesaran… - Journal of Finance, 1995 - JSTOR
This article examines the robustness of the evidence on predictability of US stock returns,
and addresses the issue of whether this predictability could have been historically exploited
by investors to earn profits in excess of a buy-and-hold strategy in the market index. We ...
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Data‐snooping, technical trading rule performance, and the bootstrap

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R Sullivan, A Timmermann… - The journal of Finance, 1999 - Wiley Online Library
In this paper we utilize White's Reality Check bootstrap methodology (White (1999)) to
evaluate simple technical trading rules while quantifying the data-snooping bias and fully
adjusting for its effect in the context of the full universe from which the trading rules were ...
Cited by 546 - Related articles - Library Search - BL Direct - All 47 versions

A simple nonparametric test of predictive performance

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MH Pesaran… - Journal of Business & Economic Statistics, 1992 - JSTOR
This article develops a distribution-free procedure for testing the accuracy of forecasts when
the focus of the analysis is on the correct prediction of the direction of change in the variable
under consideration. The proposed test is of particular interest in situations in which the ...
Cited by 417 - Related articles - Library Search - BL Direct - All 7 versions

Forecast combinations

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A Timmermann - Handbook of economic forecasting, 2006 - Elsevier
Abstract Forecast combinations have frequently been found in empirical studies to produce
better forecasts on average than methods based on the ex ante best individual forecasting
model. Moreover, simple combinations that ignore correlations between forecast errors ...
Cited by 396 - Related articles - Library Search - BL Direct - All 31 versions

Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis

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R Kosowski, A Timmermann… - The Journal of …, 2006 - Wiley Online Library
We apply a new bootstrap statistical technique to examine the performance of the US open-
end, domestic equity mutual fund industry over the 1975 to 2002 period. A bootstrap
approach is necessary because the cross section of mutual fund alphas has a complex ...
Cited by 321 - Related articles - BL Direct - All 56 versions

Firm size and cyclical variations in stock returns

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G Perez‐Quiros… - The Journal of Finance, 2000 - Wiley Online Library
Recent imperfect capital market theories predict the presence of asymmetries in the variation
of small and large firms' risk over the economic cycle. Small firms with little collateral should
be more strongly affected by tighter credit market conditions in a recession state than large ...
Cited by 314 - Related articles - Library Search - BL Direct - All 17 versions

How learning in financial markets generates excess volatility and predictability in stock prices

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AG Timmermann - The Quarterly Journal of Economics, 1993 - qje.oxfordjournals.org
Page 1. HOW LEARNING IN FINANCIAL MARKETS GENERATES EXCESS
VOLATILITY AND PREDICTABILITY IN STOCK PRICES* ALLAN G. TIMMERMANN
Two of the most discussed anomalies in the financial literature ...
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Moments of Markov switching models

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A Timmermann - Journal of Econometrics, 2000 - Elsevier
This paper derives the moments for a range of Markov switching models. We characterize in
detail the patterns of volatility, skewness and kurtosis that these models can produce as a
function of the transition probabilities and parameters of the underlying state densities ...
Cited by 207 - Related articles - Library Search - BL Direct - All 15 versions

Asset Allocation Dynamics and Pension Fund Performance*

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D Blake, BN Lehmann… - The Journal of Business, 1999 - JSTOR
Using a data set on more than 300 UK pension funds' asset holdings, this article provides a
systematic investigation of the performance of managed portfolios across multiple asset
classes. We find evidence of slow mean reversion in the funds' portfolio weights toward a ...
Cited by 183 - Related articles - Library Search - BL Direct - All 19 versions

A recursive modelling approach to predicting UK stock returns

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MH Pesaran… - The Economic Journal, 2000 - Wiley Online Library
This paper applies an extended and generalised version of the recursive modelling strategy
developed in Pesaran and Timmermann (1995) to the UK stock market. The focus of the
analysis is to simulate investors' search in 'real time'for a model that can forecast stock ...
Cited by 173 - Related articles - Library Search - BL Direct - All 19 versions

Mutual fund performance: evidence from the UK

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D Blake… - European Finance Review, 1998 - rof.oxfordjournals.org
Abstract This paper uses a large sample containing the complete return histories of 2300UK
openended mutual funds over a 23-year period to measure fund performance. We find some
evidence of underperformance on a risk-adjusted basis by the average fund manager, ...
Cited by 155 - Related articles - Library Search - BL Direct - All 7 versions

Forecasting time series subject to multiple structural breaks

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M HASHEM PESARAN, D Pettenuzzo… - Review of Economic …, 2006 - Wiley Online Library
This paper provides a new approach to forecasting time series that are subject to discrete
structural breaks. We propose a Bayesian estimation and prediction procedure that allows
for the possibility of new breaks occurring over the forecast horizon, taking account of the ...
Cited by 144 - Related articles - Library Search - BL Direct - All 60 versions

Dangers of data mining: The case of calendar effects in stock returns

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R Sullivan, A Timmermann… - Journal of Econometrics, 2001 - Elsevier
Economics is primarily a non-experimental science. Typically, we cannot generate new data
sets on which to test hypotheses independently of the data that may have led to a particular
theory. The common practice of using the same data set to formulate and test hypotheses ...
Cited by 139 - Related articles - All 14 versions

Excess volatility and predictability of stock prices in autoregressive dividend models with learning

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A Timmermann - The Review of Economic Studies, 1996 - restud.oxfordjournals.org
Abstract To what extent can agents' learning and incomplete information about the “true”
underlying model generating stock returns explain findings of excess volatility and
predictability of returns in the stock market? In this paper we analyse two models of ...
Cited by 138 - Related articles - BL Direct - All 9 versions

Instability of return prediction models

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BS Paye… - Journal of Empirical Finance, 2006 - Elsevier
This study examines evidence of instability in models of ex post predictable components in
stock returns related to structural breaks in the coefficients of state variables such as the
lagged dividend yield, short interest rate, term spread and default premium. We estimate ...
Cited by 120 - Related articles - All 25 versions

Efficient market hypothesis and forecasting

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A Timmermann… - International Journal of Forecasting, 2004 - Elsevier
The efficient market hypothesis gives rise to forecasting tests that mirror those adopted when
testing the optimality of a forecast in the context of a given information set. However, there
are also important differences arising from the fact that market efficiency tests rely on ...
Cited by 108 - Related articles - Library Search - BL Direct - All 27 versions

Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities

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G Perez-Quiros… - Journal of Econometrics, 2001 - Elsevier
Markov switching models with time-varying means, variances and mixing weights are
applied to characterize business cycle variation in the probability distribution and higher
order moments of stock returns. This allows us to provide a comprehensive ...
Cited by 106 - Related articles - Library Search - BL Direct - All 27 versions

Market timing and return prediction under model instability

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MH Pesaran… - Journal of Empirical Finance, 2002 - Elsevier
Despite mounting empirical evidence to the contrary, the literature on predictability of stock
returns almost uniformly assumes a time-invariant relationship between state variables and
returns. In this paper, we propose a two-stage approach for forecasting of financial return ...
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How costly is it to ignore breaks when forecasting the direction of a time series?

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MH Pesaran… - International Journal of Forecasting, 2004 - Elsevier
Empirical evidence suggests that many macroeconomic and financial time series are subject
to occasional structural breaks. In this paper we present analytical results quantifying the
effects of such breaks on the correlation between the forecast and the realization and on ...
Cited by 105 - Related articles - BL Direct - All 47 versions

International asset allocation under regime switching, skew, and kurtosis preferences

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M Guidolin… - Review of Financial Studies, 2008 - Soc Financial Studies
Abstract This paper investigates the international asset allocation effects of time-variations in
higher-order moments of stock returns such as skewness and kurtosis. In the context of a
four-moment International Capital Asset Pricing Model (ICAPM) specification that relates ...
Cited by 91 - Related articles - Library Search - BL Direct - All 44 versions

Estimation and testing of forecast rationality under flexible loss

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G Elliott, I Komunjer… - Review of Economic …, 2005 - Wiley Online Library
In situations where a sequence of forecasts is observed, a common strategy is to examine
„rationality” conditional on a given loss function. We examine this from a different
perspective—supposing that we have a family of loss functions indexed by unknown ...
Cited by 95 - Related articles - BL Direct - All 31 versions

An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns

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M Guidolin… - Journal of Applied Econometrics, 2006 - Wiley Online Library
This paper considers a variety of econometric models for the joint distribution of US stock
and bond returns in the presence of regime switching dynamics. While simple two-or three-
state models capture the univariate dynamics in bond and stock returns, a more ...
Cited by 91 - Related articles - Library Search - BL Direct - All 35 versions

Selection of estimation window in the presence of breaks

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MH Pesaran… - Journal of Econometrics, 2007 - Elsevier
In situations where a regression model is subject to one or more breaks it is shown that it
can be optimal to use pre-break data to estimate the parameters of the model used to
compute out-of-sample forecasts. The issue of how best to exploit the trade-off that might ...
Cited by 91 - Related articles - All 25 versions

Forecasting stock returns an examination of stock market trading in the presence of transaction costs

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MH Pesaran… - Journal of Forecasting, 1994 - Wiley Online Library
Abstract The paper presents new evidence on the predictability of excess returns on
common stocks for the Standard and Poor's 500 and the Dow Jones Industrial portfolios at
the monthly, quarterly, and annual frequencies. It shows that recursive predictions ...
Cited by 89 - Related articles - BL Direct - All 8 versions

Optimal forecast combinations under general loss functions and forecast error distributions

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G Elliott… - Journal of Econometrics, 2004 - Elsevier
Existing results on the properties and performance of forecast combinations have been
derived in the context of mean squared error loss. Under this loss function empirical studies
have generally found that equally-weighted combined forecasts lead to better ...
Cited by 87 - Related articles - Library Search - All 18 versions

Economic forecasting

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G Elliott… - Journal of Economic Literature, 2008 - ingentaconnect.com
Abstract: Forecasts guide decisions in all areas of economics and finance and their value
can only be understood in relation to, and in the context of, such decisions. We discuss the
central role of the loss function in helping determine the forecaster's objectives. Decision ...
Cited by 91 - Related articles - Library Search - BL Direct - All 27 versions

Biases in macroeconomic forecasts: irrationality or asymmetric loss?

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G Elliott, I Komunjer… - Journal of the European …, 2008 - Wiley Online Library
Abstract Empirical studies using survey data on expectations have frequently observed that
forecasts are biased and have concluded that agents are not rational. We establish that
existing rationality tests are not robust to even small deviations from symmetric loss and ...
Cited by 88 - Related articles - BL Direct - All 34 versions

[PDF] Duration dependence in stock prices

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A Lunde… - Journal of Business and Economic Statistics, 2004 - ASA
This article studies time series dependence in the direction of stock prices by modeling the
(instantaneous) probability that a bull or bear market terminates as a function of its age and
a set of underlying state variables, such as interest rates. A random walk model is rejected ...
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Asset allocation under multivariate regime switching

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M Guidolin… - Journal of Economic Dynamics and Control, 2007 - Elsevier
This paper studies asset allocation decisions in the presence of regime switching in asset
returns. We find evidence that four separate regimes–characterized as crash, slow growth,
bull and recovery states–are required to capture the joint distribution of stock and bond ...
Cited by 80 - Related articles - All 18 versions

Persistence in forecasting performance and conditional combination strategies

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M Aiolfi… - Journal of Econometrics, 2006 - Elsevier
This paper considers measures of persistence in the (relative) forecasting performance of
linear and nonlinear time-series models applied to a large cross-section of economic
variables in the G7 countries. We find strong evidence of persistence among top and ...
Cited by 82 - Related articles - All 21 versions

Risk sharing and transition costs in the reform of pension systems in Europe

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D Miles… - Economic Policy, 1999 - Wiley Online Library
Unfunded pay-as-you-go state pension schemes are financially unsustainable in Europe as
elsewhere. Proponents of reform argue that, by switching to a fully funded scheme that takes
advantage of the high return on assets such as equities, the solvency of the state scheme ...
Cited by 77 - Related articles - BL Direct - All 8 versions

Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns*

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M Guidolin… - The Economic Journal, 2005 - Wiley Online Library
This paper presents evidence of persistent 'bull'and 'bear'regimes in UK stock and bond
returns and considers their economic implications from the perspective of an investor's
portfolio allocation. We find that the perceived state probability has a large effect on the ...
Cited by 79 - Related articles - All 24 versions

[PDF] Structural breaks, incomplete information, and stock prices

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A Timmermann - Journal of Business and Economic Statistics, 2001 - ASA
This article presents empirical evidence on the existence of structural breaks in the
fundamentals process underlying US stock prices. I develop an asset-pricing model that
represents breaks in the context of a Markov switching process with an expanding set of ...
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Small sample properties of forecasts from autoregressive models under structural breaks

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MH Pesaran… - Journal of Econometrics, 2005 - Elsevier
This paper develops a theoretical framework for the analysis of small-sample properties of
forecasts from general autoregressive models under structural breaks. Finite-sample results
for the mean squared forecast error of one-step ahead forecasts are derived, both ...
Cited by 78 - Related articles - Library Search - BL Direct - All 49 versions

Performance clustering and incentives in the UK pension fund industry

[PDF] from lse.ac.uk
D Blake, BN Lehmann… - 2002 - eprints.lse.ac.uk
Despite pension fund managers being largely unconstrained in their investment decisions,
this paper reports evidence of clustering in the performance of a large cross-section of UK
pension fund managers around the median fund manager. This finding is explained in ...
Cited by 73 - Related articles - Library Search - BL Direct - All 21 versions

Properties of optimal forecasts under asymmetric loss and nonlinearity

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AJ Patton… - Journal of Econometrics, 2007 - Elsevier
Evaluation of forecast optimality in economics and finance has almost exclusively been
conducted under the assumption of mean squared error loss. Under this loss function
optimal forecasts should be unbiased and forecast errors serially uncorrelated at the ...
Cited by 70 - Related articles - All 23 versions

Disagreement and biases in inflation expectations

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C Capistrán… - Journal of Money, Credit and …, 2009 - Wiley Online Library
1. We are grateful to two anonymous referees as well as the editor, Pok-sang Lam, for many
valuable comments. We have also benefited from discussions with seminar participants at
Banco de México, UCSD, LAMES 2007, and the 2006 Meetings of the Society of ...
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Real-time econometrics

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H Pesaran… - Econometric Theory, 2005 - Cambridge Univ Press
Abstract This paper considers the problems facing decision makers using econometric
models in real time. It identifies the key stages involved and highlights the role of automated
systems in reducing the effect of data snooping. It sets out many choices that researchers ...
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An assessment of the economic value of non‐linear foreign exchange rate forecasts

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S Satchell… - Journal of Forecasting, 1995 - Wiley Online Library
Abstract Recent research suggests that non-linear methods cannot improve the point
forecasts of high-frequency exchange rates. These studies have been using standard
forecasting criteria such as smallest mean squared error (MSE) and smallest mean ...
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[PDF] Testing forecast optimality under unknown loss

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AJ Patton… - Journal of the American Statistical Association, 2007 - ASA
Empirical tests of forecast optimality have traditionally been conducted under the
assumption of mean squared error loss or some other known loss function. In this article we
establish new testable properties that hold when the forecaster's loss function is unknown ...
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The hazards of mutual fund underperformance: A Cox regression analysis

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A Lunde, A Timmermann… - Journal of Empirical Finance, 1999 - Elsevier
This paper investigates the process determining mutual funds' conditional probability of
closure, ie, their hazard function. Using a nonparametric approach to estimate the effects of
a fund's age on its hazard rate, we find a distinctly non-linear, inverse U-shaped pattern in ...
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[CITATION] The robustness and economic significance of predictability of stock returns

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MH Pesaran… - Journal of Finance, 1995
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A generalization of the non-parametric Henriksson-Merton test of market timing

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MH Pesaran… - Economics Letters, 1994 - Elsevier
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Term structure of risk under alternative econometric specifications

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M Guidolin… - Journal of Econometrics, 2006 - Elsevier
This paper characterizes the term structure of risk measures such as value at risk (VaR) and
expected shortfall under different econometric approaches including multivariate regime
switching, GARCH-in-mean models with Student-t errors, two-component GARCH models ...
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Elusive return predictability

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A Timmermann - International Journal of Forecasting, 2008 - Elsevier
Investors' searches for successful forecasting models cause the data generating process for
financial returns to change over time, which means that individual return forecasting models
can, at best, hope to uncover evidence of 'local'predictability. We illustrate this point on a ...
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Cointegration tests of present value models with a time‐varying discount factor

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A Timmermann - Journal of Applied Econometrics, 1995 - Wiley Online Library
Abstract The paper analyses the impact of persistence and volatility in the discount rate in
present-value models on cointegration tests in levels and in logarithms. In simulations we
find that the probability of not rejecting the null of no cointegration depends on the ...
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[BOOK] Common factors in Latin America's business cycles

M Aiolfi, A Timmermann… - 2006 - books.google.com
This paper constructs new business cycle indices for Argentina, Brazil, Chile, and Mexico
based on common dynamic factors extracted from a comprehensive set of sectoral output,
external data, and fiscal and financial variables spanning over a century. The constructed ...
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[PDF] Dangers of data-driven inference: the case of calendar effects in stock returns

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R Sullivan, A Timmermann… - 1998 - escholarship.org
ABSTRACT Economics is primarily a non-experimental science. Typically, we cannot
generate new data sets on which to test hypotheses independently of the data that may have
led to a particular theory. The common practice of using the same data set to formulate ...
Cited by 40 - Related articles - View as HTML - BL Direct - All 28 versions

Performance benchmarks for institutional investors: Measuring, monitoring and modifying investment behaviour

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D Blake… - Performance Measurement in …, 2002 - books.google.com
ABSTRACT The two main types of benchmarks used in the UK are external assetclass
benchmarks and peer-group benchmarks. Peer-group tracking is much more prevalent with
pension funds and mutual funds than with life funds. However, the use of customized ...
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Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts

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AJ Patton… - Journal of Financial Economics, 2010 - Elsevier
Many theories in finance imply monotonic patterns in expected returns and other financial
variables. The liquidity preference hypothesis predicts higher expected returns for bonds
with longer times to maturity; the Capital Asset Pricing Model (CAPM) implies higher ...
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Option prices under Bayesian learning: implied volatility dynamics and predictive densities

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M Guidolin… - Journal of Economic Dynamics and Control, 2003 - Elsevier
This paper shows that many of the empirical biases of the Black and Scholes option pricing
model can be explained by Bayesian learning effects. In the context of an equilibrium model
where dividend news evolve on a binomial lattice with unknown but recursively updated ...
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An evaluation of the world economic outlook forecasts

A Timmermann - IMF Working Paper No. 06/59, 2006 - papers.ssrn.com
Abstract: The World Economic Outlook (WEO) is a key source of forecasts of global
economic conditions. It is therefore important to review the performance of these forecasts
against both actual outcomes and alternative forecasts. This paper conducts a series of ...
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Size and value anomalies under regime shifts

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M Guidolin… - Journal of Financial Econometrics, 2008 - Oxford Univ Press
Abstract This paper finds strong evidence of time-variations in the joint distribution of returns
on a stock market portfolio and portfolios tracking size-and value effects. Mean returns,
volatilities and correlations between these equity portfolios are found to be driven by ...
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Density forecasting in economics and finance

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A Timmermann - Journal of Forecasting, 2000 - Wiley Online Library
... Allan Timmermann. ... Email: Allan Timmermann (atimmerm@ucsd.edu). *Correspondence: Allan
Timmermann, Allan Timmermann, Department of Economics, University of California at San Diego,
9500 Gilman Drive, La Jolla, CA 92093-0508, USA. Publication History. ...
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Relative Performance Evaluation Contracts and Asset Market Equilibrium*

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S Kapur… - The Economic Journal, 2005 - Wiley Online Library
We analyse the equilibrium consequences of performance-based contracts for fund
managers. Managerial remuneration is tied to a fund's absolute and relative performance.
Investors choose whether or not to delegate their investment to better-informed fund ...
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OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING*

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G Elliott… - International Economic Review, 2005 - Wiley Online Library
This article proposes a new forecast combination method that lets the combination weights
be driven by regime switching in a latent state variable. An empirical application that
combines forecasts from survey data and time series models finds that the proposed ...
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[BOOK] Handbook of economic forecasting

G Elliott, CWJ Granger… - 2006 - books.google.com
Research on forecasting methods has made important progress over recent years and these
developments are brought together in the Handbook of Economic Forecasting. The
handbook covers developments in how forecasts are constructed based on multivariate ...
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Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion

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AJ Patton… - Journal of Monetary Economics, 2010 - Elsevier
Key sources of disagreement among economic forecasters are identified by using data on
cross-sectional dispersion in forecasters' long-and short-run predictions of macroeconomic
variables. Dispersion among forecasters is highest at long horizons where private ...
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Properties of equilibrium asset prices under alternative learning schemes

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M Guidolin… - Journal of Economic Dynamics and Control, 2007 - Elsevier
This paper characterizes equilibrium asset prices under adaptive, rational and Bayesian
learning schemes in a model where dividends evolve on a binomial lattice. The properties of
equilibrium stock and bond prices under learning are shown to differ significantly. ...
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Predictability of stock returns and asset allocation under structural breaks

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D Pettenuzzo… - Journal of Econometrics, 2011 - Elsevier
This paper adopts a new approach that accounts for breaks to the parameters of return
prediction models both in the historical estimation period and at future points. Empirically,
we find evidence of multiple breaks in return prediction models based on the dividend ...
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Data mining with local model specification uncertainty: a discussion of Hoover and Perez

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C Granger… - The econometrics journal, 1999 - Wiley Online Library
Hoover and Perez's results show that the general-to-specific approach performs well if the
search for a linear and stable model specification is conducted in a local neighborhood
around the truth. However, non-linearities, outliers, parameter instability and the absence ...
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Forecasts of US short-term interest rates: A flexible forecast combination approach

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M Guidolin… - Journal of Econometrics, 2009 - Elsevier
This paper develops a flexible approach to combine forecasts of future spot rates with
forecasts from time-series models or macroeconomic variables. We find empirical evidence
that, accounting for both regimes in interest rate dynamics, and combining forecasts from ...
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Learning, structural instability, and present value calculations

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H Pesaran, D Pettenuzzo… - Econometric Reviews, 2007 - Taylor & Francis
Present value calculations require predictions of cash flows both at near and distant future
points in time. Such predictions are generally surrounded by considerable uncertainty and
may critically depend on assumptions about parameter values as well as the form and ...
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Variation in expected stock returns: evidence on the pricing of equities from a cross-section of UK companies

D Miles… - Economica, 1996 - JSTOR
This paper analyses the variation in expected monthly stock returns for a large cross-section
of UK companies. Using company attributes as a sorting key, we form portfolios and study
their returns relative to the return on the market index. We find that book to market value, ...
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International Asset Allocation with Time‐Varying Investment Opportunities*

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A Timmermann… - The Journal of Business, 2005 - JSTOR
This paper analyzes the international equity holdings of a large panel of UK pension funds.
We model portfolio weights as a function of time-varying conditional moments and find that a
substantial part of the evolution in portfolio weights is explained by time-varying ...
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Present value models with feedback* 1:: Solutions, stability, bubbles, and some empirical evidence

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A Timmermann - Journal of Economic Dynamics and Control, 1994 - Elsevier
Abstract On economic grounds we would expect a feedback from the endogenous variable
to the forcing variable in many present value models. In this paper we show that feedback
can change the dynamical properties of the solution (s) to present value models very ...
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Properties of optimal forecasts

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A Patton… - 2003 - papers.ssrn.com
Abstract: Evaluation of forecast optimality in economics and finance has almost exclusively
been conducted under the assumption of mean squared error loss. Under this loss function
optimal forecasts should be unbiased and forecast errors serially uncorrelated at the ...
Cited by 18 - Related articles - BL Direct - All 16 versions

[CITATION] Fitting the Moments: A Comparison of ARCH and Regime Switching Models for Daily Stock Returns

M Sola… - 1994 - opengrey.eu
Fitting the Moments: A Comparison of Arch and Regime Switching Models for Daily Stock Returns.
M Sola, A Timmermann DISCUSSION PAPER-LONDON BUSINESS SCHOOL CENTRE FOR
ECONOMIC FORECASTING, LONDON BUSINESS SCHOOL, 1994.
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An evaluation of the World Economic Outlook forecasts

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A Timmermann - IMF Staff Papers, 2007 - palgrave-journals.com
Abstract This paper conducts a series of statistical tests to evaluate the quality of the World
Economic Outlook (WEO) forecasts for a very large cross section of countries. It assesses
whether forecasts were unbiased and informationally efficient, characterizes the process ...
Cited by 20 - Related articles - BL Direct - All 14 versions

[BOOK] Strategic asset allocation and consumption decisions under multivariate regime switching

[PDF] from ucsd.edu
M Guidolin, A Timmermann… - 2005 - papers.ssrn.com
Abstract: This paper studies strategic asset allocation and consumption choice in the
presence of regime switching in asset returns. We find evidence that four separate regimes-
characterized as crash, slow growth, bull and recovery states-are required to capture the ...
Cited by 16 - Related articles - Get it from MIT Libraries - Library Search - BL Direct - All 30 versions

[BOOK] Country and industry dynamics in stock returns

[PDF] from eea-esem.com
L Catao… - 2003 - books.google.com
A perennial question in international finance is to what extent stock returns are influenced by
country-location, as opposed to industry-affiliation, factors. This paper develops a novel
methodology to measure these effects, in which portfolios mimicking" pure" country and ...
Cited by 15 - Related articles - Get it from MIT Libraries - Library Search - All 13 versions

Variable Selection and Inference for Multi-period Forecasting Problems

[PDF] from cesifo.de
MH Pesaran, A Pick… - 2009 - papers.ssrn.com
Abstract: This paper conducts a broad-based comparison of iterated and direct multi-step
forecasting approaches applied to both univariate and multivariate models. Theoretical
results and Monte Carlo simulations suggest that iterated forecasts dominate direct ...
Cited by 15 - Related articles - All 39 versions

Recursive Modeling of Nonlinear Dynamics in UK Stock Returns

Full text - MIT Libraries
M Guidolin… - The Manchester School, 2003 - Wiley Online Library
This paper presents results from recursive modeling of nonlinear dynamics in UK stock
returns. A specification search suggests a two-state model and we demonstrate the ability of
this model to capture time-varying volatility, skew and kurtosis in UK stock returns. An out- ...
Cited by 14 - Related articles - BL Direct - All 8 versions

Returns from active management in international equity markets: Evidence from a panel of UK pension funds

[PDF] from lse.ac.uk
Full text - MIT Libraries
D Blake… - Journal of Asset Management, 2005 - ingentaconnect.com
Abstract: This paper proposes new performance decomposition measures that allow one to
analyse the sources of returns on the international equity holdings of a large cross-section of
UK pension funds. The results suggest that the pension funds earned negative returns ...
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[PDF] Option prices and implied volatility dynamics under Bayesian learning

[PDF] from warwick.ac.uk
M Guidolin… - 2000 - warwick.ac.uk
Abstract This paper shows that many of the empirical biases of the Black and Scholes option
pricing model can be explained by Bayesian learning effects. In the context of an equilibrium
model where dividend news evolve on a binomial lattice with unknown but recursively ...
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[PDF] Forecast combination with entry and exit of experts

[PDF] from amstat.org
Full text - MIT Libraries
C Capistran… - Journal of Business and Economic Statistics, 2009 - ASA
Combination of forecasts from survey data is complicated by the frequent entry and exit of
individual forecasters which renders conventional least squares regression approaches
infeasible. We explore the consequences of this issue for existing combination methods ...
Cited by 12 - Related articles - View as HTML - All 8 versions

15 Variations in the mean and volatility of stock returns around turning points of the business cycle

[PDF] from pp.ua
G Perez-Quiros… - Forecasting volatility in the …, 2007 - books.google.com
Summary This chapter studies the patterns and magnitude of variations in the mean and
volatility of US stock returns around turning points of the business cycle. During the brief
spell from the peak to the trough of the post-war business cycle, mean excess returns ...
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[CITATION] On business cycle variation in the mean, volatility and conditional distribution of stock returns

G Perez-Quiros… - University of California …, 1996 - en.scientificcommons.org
Cited by 12 - Related articles - Cached - All 4 versions

Variable selection, estimation and inference for multi-period forecasting problems

[PDF] from eprg.org.uk
M Hashem Pesaran, A Pick… - Journal of Econometrics, 2011 - Elsevier
This paper conducts a broad-based comparison of iterated and direct multi-period
forecasting approaches applied to both univariate and multivariate models in the form of
parsimonious factor-augmented vector autoregressions. To account for serial correlation ...
Cited by 13 - Related articles - Get it from MIT Libraries - All 32 versions

Value at Risk and expected shortfall under regime switching

M Guidolin… - University of California at San Diego …, 2003 - papers.ssrn.com
Abstract: This paper models the joint distribution of stock and bond returns as a multivarate
Markov switching process. We found evidence that four states are needed to capture the
joint distribution of returns on these asset classes. This gives rise to rich patterns in the ...
Cited by 12 - Related articles - All 3 versions

On the optimality of adaptive expectations: Muth revisited

Full text - MIT Libraries
S Satchell… - International Journal of Forecasting, 1995 - Elsevier
Muth (1960, J. American Statistical Association 55, 299–306) showed that adaptive
expectations are optimal, in the sense that they minimise the mean squared forecast error of
an infinite-history random walk series observed with noise. This paper derives an explicit ...
Cited by 12 - Related articles - Library Search - All 10 versions

What is the Shape of the Risk-Return Relation?

[PDF] from ucsd.edu
A Rossi… - 2009 - papers.ssrn.com
Abstract: Using a flexible econometric approach that avoids imposing restrictive modeling
assumptions, we find evidence of a non-monotonic relation between conditional volatility
and expected stock market returns: At low-to-medium levels of conditional volatility there is ...
Cited by 11 - Related articles - All 40 versions

Regime changes and financial markets

[PDF] from uvt.nl
A Ang… - 2011 - nber.org
Regime switching models can match the tendency of financial markets to often change their
behavior abruptly and the phenomenon that the new behavior of financial variables often
persists for several periods after such a change. While the regimes captured by regime ...
Cited by 12 - Related articles - Library Search - All 10 versions

[CITATION] H. White, 2006, Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Full text - MIT Libraries
R Kosowski, A Timmermann… - Journal of Finance
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[CITATION] Performance persistence in mutual funds: An independent assessment of the studies prepared by Charles River Associates for the Investment …

D Blake… - Financial Services Authority (also available at www. …, 2003
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[CITATION] The birth and death processes of mutual funds

D Blake, A Timmermann… - 1997 - Birkbeck College, University of …
Cited by 11 - Related articles - Get it from MIT Libraries - Library Search - All 4 versions

Performance Measurement Using Multiple Asset Class Portfolio Data

D Blake, BN Lehmann… - CEPR Discussion Papers, 1997 - ideas.repec.org
Downloadable (with restrictions)! Using a data set containing 364 UK pension funds' asset
holdings, this paper provides a systematic investigation of the performance of managed portfolios
across multiple asset classes. We find surprisingly little cross-sectional variation in the ex- ...
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Completion time structures of stock price movements

[PDF] from ucsd.edu
Full text - MIT Libraries
A Lunde… - Annals of Finance, 2005 - Springer
Summary This paper proposes to model movements in more than a century of daily US stock
prices as the outcome of a multi-state marked point process and studies the time it takes for
stock prices to complete an up or a down move of a certain size. We present a new ...
Cited by 9 - Related articles - BL Direct - All 20 versions

[CITATION] Option pricing with GARCH and systematic consumption risk

SE Satchell… - 1993 - opengrey.eu
Option Pricing with GARCH and Systematic Consumption Risk. Stephen E Satchell,
Allan Timmermann University of London, Birkbeck College, 1993.
Cited by 9 - Cached - Get it from MIT Libraries - Library Search

Common factors in Latin America's business cycles

[PDF] from iadb.org
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M Aiolfi, LAV Catão… - Journal of Development Economics, 2011 - Elsevier
We develop a common factor approach to reconstruct new business cycle indices for
Argentina, Brazil, Chile, and Mexico (“LAC-4”) from a new dataset spanning 135years. We
establish the robustness of our indices through extensive testing and use them to explore ...
Cited by 9 - Related articles - Library Search - All 41 versions

Forecast combination with entry and exit of experts

[PDF] from bank-banque-canada.ca
C Capistrán… - Journal of Business and Economic …, 2007 - papers.ssrn.com
Abstract: Combination of forecasts from survey data is complicated by the frequent entry and
exit of individual forecasters which renders conventional least squares regression
approaches infeasible. We explore the consequences of this issue for existing ...
Cited by 8 - Related articles - Get it from MIT Libraries - All 74 versions

[CITATION] Costing pension reform

Full text - MIT Libraries
D Miles… - Economic Policy, 1999
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[BOOK] Learning in real time: theory and empirical evidence from the term structure of survey forecasts

[PDF] from ox.ac.uk
AJ Patton, AG Timmermann… - 2007 - papers.ssrn.com
Page 1. DISCUSSION PAPER SERIES ABCD www.cepr.org Available online at:
www.cepr.org/pubs/dps/DP6526.asp www.ssrn.com/xxx/xxx/xxx No. 6526 LEARNING
IN REAL TIME: THEORY AND EMPIRICAL EVIDENCE FROM ...
Cited by 7 - Related articles - Get it from MIT Libraries - Library Search - All 27 versions

Predictability of output growth and inflation: A multi-horizon survey approach

[PDF] from amstat.org
Full text - MIT Libraries
AJ Patton… - Journal of Business and Economic …, 2011 - Taylor & Francis
We develop an unobserved-components approach to study surveys of forecasts containing
multiple forecast horizons. Under the assumption that forecasters optimally update their
beliefs about past, current, and future state variables as new information arrives, we use ...
Cited by 8 - Related articles - All 18 versions

[PDF] Strategic asset allocation under multivariate regime switching

[PDF] from eea-esem.com
M Guidolin… - Manuscript, University of California …, 2005 - eea-esem.com
This paper studies optimal asset allocation to stocks, longMterm bonds and TMbills in the
presence of regime switching in returns. We find strong evidence that four separate regimes
M characterized as crash, slow growth, bull and bull burst states M are required to capture ...
Cited by 7 - Related articles - View as HTML

Learning, specification search and market efficiency. With an application to the Danish stock market

AG Timmermann - The Scandinavian Journal of Economics, 1993 - JSTOR
Page 1. Scand. J. of Economics 95(2), 157-173, 1993 Learning, Specification Search
and Market Efficiency. With an Application to the Danish Stock Market Allan Gilling
Timmermann Birkbeck College, University of London, England Abstract ...
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[PDF] Persistence in forecasting performance

[PDF] from rutgers.edu
M Aiolfi… - 2003 - econweb.rutgers.edu
Abstract This paper considers various measures of persistence in the forecasting
performance of linear and nonlinear time-series models applied to output growth in the G7
countries. We find strong evidence of persistence among both top and bottom forecasting ...
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[CITATION] Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching, Federal Reserve Bank of St

M Guidolin… - 2005 - Louis Working Paper 2005
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[CITATION] Scales and stock markets

Full text - MIT Libraries
A Timmermann - Nature, 1995 - adsabs.harvard.edu
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Testable implications of forecast optimality

[PDF] from lse.ac.uk
A Patton… - London School of Economics Mimeo, 2004 - papers.ssrn.com
Abstract: Evaluation of forecast optimality in economics and finance has almost exclusively
been conducted on the assumption of mean squared error loss under which forecasts
should be unbiased and forecast errors serially uncorrelated at the single period horizon ...
Cited by 6 - Related articles - All 19 versions

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