Predictability of stock returns and asset allocation under structural breaks

DOI10.1016/J.JECONOM.2011.02.019MaRDI QIDQ737993zbMATHOpenAlexFDO

Authors Davide Pettenuzzo, Allan 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

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

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Cites work

• scientific article; zbMATH DE number 370368 (Why is no real title available?)
• A note on some limitations of CRRA utility
• Bayesian correlation estimation
• Calculating posterior distributions and modal estimates in Markov mixture models
• Efficient Tests for General Persistent Time Variation in Regression Coefficients
• Estimation and comparison of multiple change-point models
• Forecasting Time Series Subject to Multiple Structural Breaks
• Predictable returns and asset allocation: should a skeptical investor time the market?
• Testing For and Dating Common Breaks in Multivariate Time Series

Cited in

(22)

• Corrigendum to ``Predictability of stock returns and asset allocation under structural breaks
• A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
• Penetrating sporadic return predictability
• On the Economic Significance of Stock Return Predictability
• Optimal asset allocation with multivariate Bayesian dynamic linear models
• On the long-run volatility of stocks
• Does modeling a structural break improve forecast accuracy?
• Equilibrium Predictability, Term Structure of Equity Premia, and Other Return Characteristics
• Perpetual learning and stock return predictability
• Change points in heavy‐tailed multivariate time series: Methods using precision matrices
• Predictable returns and asset allocation: should a skeptical investor time the market?
• Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
• Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
• Testing for episodic predictability in stock returns
• A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX
• Powerful tests for structural changes in volatility
• Monotonic effects of characteristics on returns
• Structural Breaks in Grouped Heterogeneity
• Complete subset regressions
• Long horizon predictability: an asset allocation perspective
• Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
• Measuring excess-predictability of asset returns and market efficiency over time

Describes a project that uses

Uses Software

• Gibbsit

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