www.elsevier.com/locate/csda Stock and bond return predictability: the discrimination power of model selection criteria Rosario Dell’Aquila a, ∗ , Elvezio Ronchetti
Sample evidence about the predictability of monthly stock returns is considered from the perspective...
One of the most important findings in empirical finance has been the fact that returns are not i.i.d...
Few studies have been conducted to explain the variation in stock-bond correlations. However, to con...
We systematically examine the comparative predictive performance of a number of alternative linear a...
Statistical model selection criteria provide an informed choice of the model with best external (i.e...
In this study, we verify the existence of predictability in the Brazilian equity market. Unlike othe...
Statistical model selection criteria provide an informed choice of the model with best external (i.e...
Studies of bond return predictability find a puzzling disparity between strong statistical evidence ...
This paper confirms that high earnings yield portend high equity returns. Absolute valuation levels ...
In this paper, we evaluate the forecast performance of a range of atheoretic and theory informed mod...
This paper investigates whether return predictability can be explained by existing asset pricing mod...
A number of authors have identified a small set of economic variables which can predict excess US st...
In this study, we verify the existence of predictability in the Brazilian equity market. Unlike othe...
Several predetermined variables that reflect levels of bond and stock prices appear to predict retur...
The purpose of this thesis is to investigate the evidence of return predictability in equity and tre...
Sample evidence about the predictability of monthly stock returns is considered from the perspective...
One of the most important findings in empirical finance has been the fact that returns are not i.i.d...
Few studies have been conducted to explain the variation in stock-bond correlations. However, to con...
We systematically examine the comparative predictive performance of a number of alternative linear a...
Statistical model selection criteria provide an informed choice of the model with best external (i.e...
In this study, we verify the existence of predictability in the Brazilian equity market. Unlike othe...
Statistical model selection criteria provide an informed choice of the model with best external (i.e...
Studies of bond return predictability find a puzzling disparity between strong statistical evidence ...
This paper confirms that high earnings yield portend high equity returns. Absolute valuation levels ...
In this paper, we evaluate the forecast performance of a range of atheoretic and theory informed mod...
This paper investigates whether return predictability can be explained by existing asset pricing mod...
A number of authors have identified a small set of economic variables which can predict excess US st...
In this study, we verify the existence of predictability in the Brazilian equity market. Unlike othe...
Several predetermined variables that reflect levels of bond and stock prices appear to predict retur...
The purpose of this thesis is to investigate the evidence of return predictability in equity and tre...
Sample evidence about the predictability of monthly stock returns is considered from the perspective...
One of the most important findings in empirical finance has been the fact that returns are not i.i.d...
Few studies have been conducted to explain the variation in stock-bond correlations. However, to con...