Predictability of stock returns and asset allocation under structural breaks

DOI10.1016/J.JECONOM.2011.02.019zbMATH Open1441.62839OpenAlexW2037002257MaRDI QIDQ737993FDOQ737993

Allan Timmermann, Davide Pettenuzzo

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

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Mathematics Subject Classification ID

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

Cites Work

• Calculating posterior distributions and modal estimates in Markov mixture models
• Estimation and comparison of multiple change-point models
• Bayesian correlation estimation
• Forecasting Time Series Subject to Multiple Structural Breaks
• Testing For and Dating Common Breaks in Multivariate Time Series
• Efficient Tests for General Persistent Time Variation in Regression Coefficients
• A note on some limitations of CRRA utility
• Predictable returns and asset allocation: should a skeptical investor time the market?
• Title not available (Why is that?)

Cited In (20)

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

Uses Software

• Gibbsit

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