Stock and bond return predictability: the discrimination power of model selection criteria
DOI10.1016/J.CSDA.2005.01.001zbMATH Open1446.62265OpenAlexW2146775134MaRDI QIDQ959244FDOQ959244
Elvezio Ronchetti, Rosario Dell'Aquila
Publication date: 11 December 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2005.01.001
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bootstrapmodel selectionfactor modelforecastingrisk modelBayesian model selectionasset pricingstock return predictabilityAkaikeSchwarz
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Cites Work
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- Estimating the dimension of a model
- Heuristics of instability and stabilization in model selection
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
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- Some Comments on C P
- A new look at the statistical model identification
- Bagging predictors
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- Bootstrap methods: another look at the jackknife
- The jackknife and the bootstrap for general stationary observations
- The Stationary Bootstrap
- Bayesian Model Averaging for Linear Regression Models
- Linear Model Selection by Cross-Validation
- A Reality Check for Data Snooping
- Stochastic complexity and modeling
- In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
- Pooling of forecasts
- Title not available (Why is that?)
Cited In (7)
- Copulas-based time series combined forecasters
- Back propagation neural network based big data analytics for a stock market challenge
- Correcting and combining time series forecasters
- On properties of predictors derived with a two-step bootstrap model averaging approach -- a simulation study in the linear regression model
- Nonparametric long term prediction of stock returns with generated bond yields
- Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment
- The “Fed Model” and the Predictability of Stock Returns*
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