Stock and bond return predictability: the discrimination power of model selection criteria

DOI10.1016/J.CSDA.2005.01.001MaRDI QIDQ959244zbMATHOpenAlexFDO

Authors Rosario Dell'Aquila, Elvezio Ronchetti

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

zbMATH Keywords

bootstrapmodel selectionfactor modelforecastingrisk modelBayesian model selectionasset pricingstock return predictabilityAkaikeSchwarz

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3928147 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• A Reality Check for Data Snooping
• A new look at the statistical model identification
• Bagging predictors
• Bayesian Model Averaging for Linear Regression Models
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Bootstrap methods: another look at the jackknife
• Estimating the dimension of a model
• Heuristics of instability and stabilization in model selection
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Linear Model Selection by Cross-Validation
• Pooling of forecasts
• Some Comments on C P
• Stochastic complexity and modeling
• The Stationary Bootstrap
• The jackknife and the bootstrap for general stationary observations

Cited in

(8)

• 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
• How much stock return predictability can we expect from an asset pricing model?
• The “Fed Model” and the Predictability of Stock Returns*
• Back propagation neural network based big data analytics for a stock market challenge
• Copulas-based time series combined forecasters
• Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment

Describes a project that uses

Uses Software

• bootstrap

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