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

DOI10.1016/J.CSDA.2005.01.001MaRDI QIDQ959244zbMATH OpenOpenAlexFDO

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)

• Copulas-based time series combined forecasters
• How much stock return predictability can we expect from an asset pricing model?
• Back propagation neural network based big data analytics for a stock market challenge
• Correcting and combining time series forecasters
• Nonparametric long term prediction of stock returns with generated bond yields
• On properties of predictors derived with a two-step bootstrap model averaging approach -- a simulation study in the linear regression model
• Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment
• The “Fed Model” and the Predictability of Stock Returns*

Describes a project that uses

Uses Software

• bootstrap

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