Predictability of stock returns and asset allocation under structural breaks

DOI10.1016/j.jeconom.2011.02.019zbMath1441.62839OpenAlexW2037002257MaRDI QIDQ737993

Davide Pettenuzzo, Allan G. Timmermann

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.02.019

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15)

Related Items (13)

Combining long memory and level shifts in modelling and forecasting the volatility of asset returns ⋮ On the Long-Run Volatility of Stocks ⋮ Optimal asset allocation with multivariate Bayesian dynamic linear models ⋮ Penetrating sporadic return predictability ⋮ Structural Breaks in Grouped Heterogeneity ⋮ Perpetual learning and stock return predictability ⋮ Powerful tests for structural changes in volatility ⋮ Complete subset regressions ⋮ Does modeling a structural break improve forecast accuracy? ⋮ Change points in heavy‐tailed multivariate time series: Methods using precision matrices ⋮ Monotonic effects of characteristics on returns ⋮ Testing for episodic predictability in stock returns ⋮ Corrigendum to ``Predictability of stock returns and asset allocation under structural breaks

Uses Software

• Gibbsit

Cites Work

• Unnamed Item
• Predictable returns and asset allocation: should a skeptical investor time the market?
• Calculating posterior distributions and modal estimates in Markov mixture models
• Estimation and comparison of multiple change-point models
• Efficient Tests for General Persistent Time Variation in Regression Coefficients
• Forecasting Time Series Subject to Multiple Structural Breaks
• Testing For and Dating Common Breaks in Multivariate Time Series
• Bayesian correlation estimation
• A note on some limitations of CRRA utility

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