1. Industry return prediction via interpretable deep learning. (2025). Iannino, Maria Chiara ; Zografopoulos, Lazaros ; Sermpinis, Georgios ; Psaradellis, Ioannis.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:321:y:2025:i:1:p:257-268.

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2. What Drives Variation in the U.S. Debt‐to‐Output Ratio? The Dogs that Did not Bark. (2024). Van Nieuwerburgh, Stijn ; Xiaolan, Mindy Z ; Lustig, Hanno ; Jiang, Zhengyang.
   In: Journal of Finance.
   RePEc:bla:jfinan:v:79:y:2024:i:4:p:2603-2665.

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3. Measuring “Dark Matter” in Asset Pricing Models. (2024). Dou, Winston ; Chen, Hui ; Kogan, Leonid.
   In: Journal of Finance.
   RePEc:bla:jfinan:v:79:y:2024:i:2:p:843-902.

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4. Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models. (2023). Tu, Yundong ; Peng, Bin ; Gao, Jiti ; Dong, Chaohua.
   In: Monash Econometrics and Business Statistics Working Papers.
   RePEc:msh:ebswps:2023-2.

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5. Gone with the Vol: A Decline in Asset Return Predictability During the Great Moderation. (2023). Qian, Liang ; Palomino, Francisco ; Hsu, Alex.
   In: Management Science.
   RePEc:inm:ormnsc:v:69:y:2023:i:5:p:3025-3047.

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6. Government debt and risk premia. (2023). Liu, Yang.
   In: Journal of Monetary Economics.
   RePEc:eee:moneco:v:136:y:2023:i:c:p:18-34.

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7. Speculation or actual demand? The return spillover effect between stock and commodity markets. (2023). Gao, Tianshu ; Zhou, Baicheng ; Wang, Shu.
   In: Journal of Commodity Markets.
   RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000654.

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8. Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US. (2023). Neuenkirch, Matthias ; Haase, Felix.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:39:y:2023:i:2:p:587-605.

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9. Forecasting the U.S. Dollar in the 21st Century. (2023). Engel, Charles ; Yeung, Steve Pak.
   In: Journal of International Economics.
   RePEc:eee:inecon:v:141:y:2023:i:c:s0022199623000016.

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10. CBDC uncertainty: Financial market implications. (2023). Dunbar, Kwamie.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001230.

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11. On the right jump tail inferred from the VIX market. (2023). Izzeldin, Marwan ; Yao, Xingzhi ; Li, Zhenxiong.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000236.

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12. Stock return predictability and cyclical movements in valuation ratios. (2023). Chen, LI ; Huang, Difang ; Yu, Deshui.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:72:y:2023:i:c:p:36-53.

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13. Cross-sectional uncertainty and expected stock returns. (2023). Huang, Difang ; Yu, Deshui.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:72:y:2023:i:c:p:321-340.

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14. Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122.

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15. A new robust inference for predictive quantile regression. (2023). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:234:y:2023:i:1:p:227-250.

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16. Forecasting dividend growth: The role of adjusted earnings yield. (2023). Li, Luyang ; Chen, LI ; Huang, Difang ; Yu, Deshui.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004254.

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17. Asset prices in a labor search model with confidence shocks. (2023). Krivenko, Pavel.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002676.

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18. A nonparametric predictive regression model using partitioning estimators based on Taylor expansions. (2023). Olmo, Jose.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:44:y:2023:i:3:p:294-318.

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19. Diagnosing housing fever with an econometric thermometer. (2023). Phillips, Peter ; Shi, Shuping.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:37:y:2023:i:1:p:159-186.

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20. Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp23203.

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21. Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions. (2023). Nishi, Mikihito.
    In: Papers.
    RePEc:arx:papers:2309.04926.

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22. Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis.
    In: Papers.
    RePEc:arx:papers:2307.15151.

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23. Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex.
    In: Papers.
    RePEc:arx:papers:2306.00296.

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24. Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis.
    In: Papers.
    RePEc:arx:papers:2305.00860.

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25. Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis.
    In: Papers.
    RePEc:arx:papers:2302.05193.

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26. Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models. (2023). GAO, Jiti ; Peng, Bin ; Tu, Yundong ; Dong, Chaohua.
    In: Papers.
    RePEc:arx:papers:2301.06631.

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27. Testing for Coefficient Randomness in Local-to-Unity Autoregressions. (2023). Nishi, Mikihito.
    In: Papers.
    RePEc:arx:papers:2301.04853.

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28. .

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29. Who and what drives informed options trading after the market opens?. (2022). Lee, Jaeram ; Kang, Jangkoo.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:42:y:2022:i:3:p:338-364.

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30. Long?run predictability tests are even worse than you thought. (2022). Hjalmarsson, Erik ; Kiss, Tamas.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:37:y:2022:i:7:p:1334-1355.

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31. Macro?Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models. (2022). Liao, Zhipeng ; Dou, Winston Wei ; Cheng, XU.
    In: Econometrica.
    RePEc:wly:emetrp:v:90:y:2022:i:2:p:685-713.

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32. Semiparametric testing with highly persistent predictors. (2022). Zhou, B ; Werker, Bas.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:2974ce9c-97c1-44cd-9331-046a5c37a982.

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33. Modifications on Book-Valued Ratios. (2022). Georgiou, Catherine.
    In: International Journal of Business and Economic Sciences Applied Research (IJBESAR).
    RePEc:tei:journl:v:15:y:2022:i:3:p:24-37.

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34. Macroeconomic Attention and Announcement Risk Premia. (2022). Sheng, Jinfei ; Martineau, Charles ; Fisher, Adlai .
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:35:y:2022:i:11:p:5057-5093..

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35. Predicting Power of Ticker Search Volume in Indian Stock Market. (2022). Kayal, Parthajit ; Chaudhuri, Ishani.
    In: Working Papers.
    RePEc:mad:wpaper:2022-214.

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36. Economic policy uncertainty and industry return predictability – Evidence from the UK. (2022). Thuraisamy, Kannan ; Pham, Thach Ngoc ; Bannigidadmath, Deepa ; Golab, Anna.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:82:y:2022:i:c:p:433-447.

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37. Biases in long-horizon predictive regressions. (2022). Richardson, Matthew ; Israel, Ronen ; Boudoukh, Jacob.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:145:y:2022:i:3:p:937-969.

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38. Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study. (2022). Nonejad, Nima.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002095.

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39. Testing predictability of stock returns under possible bubbles. (2022). Yang, Zihui ; Long, Wei.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:68:y:2022:i:c:p:246-260.

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40. Nonparametric inference for quantile cointegrations with stationary covariates. (2022). Wang, Qiying ; Liang, Han-Ying ; Tu, Yundong.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:230:y:2022:i:2:p:453-482.

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41. Residual-augmented IVX predictive regression. (2022). Rodrigues, Paulo ; Demetrescu, Matei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:227:y:2022:i:2:p:429-460.

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42. Semiparametric testing with highly persistent predictors. (2022). Zhou, B O.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:227:y:2022:i:2:p:347-370.

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43. Testing for episodic predictability in stock returns. (2022). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Georgiev, Iliyan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:227:y:2022:i:1:p:85-113.

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44. Modelling persistent stationary processes in continuous time. (2022). Jeong, Minsoo.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000220.

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45. In December days are shorter but loans are cheaper. (2022). Weill, Laurent ; Bertrand, Jeremie.
    In: Economic Inquiry.
    RePEc:bla:ecinqu:v:60:y:2022:i:3:p:1335-1356.

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46. Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes. (2022). Soulier, Philippe ; Hurvich, Clifford ; Hsieh, Meng-Chen.
    In: Papers.
    RePEc:arx:papers:2202.00793.

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47. Average crossing time: An alternative characterization of mean aversion and reversion. (2021). Mehra, Rajnish ; Donaldson, John B.
    In: Quantitative Economics.
    RePEc:wly:quante:v:12:y:2021:i:3:p:903-944.

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48. Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence. (2021). Demetrescu, Matei ; Titova, Anna ; Roling, Christoph.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:36:y:2021:i:1:p:151-161.

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49. Investigation of fractal market hypothesis and forecasting time series stock returns for Tehran Stock Exchange and London Stock Exchange. (2021). Rounaghi, Mohammad Mahdi ; Moradi, Mahdi ; Nooghabi, Mehdi Jabbari.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:1:p:662-678.

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50. Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables. (2021). Nonejad, Nima.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:21:y:2021:i:8:p:1387-1411.

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51. Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice. (2021). Peng, Bin ; Tu, Yundong ; Gao, Jiti ; Dong, Chaohua.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2021-18.

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52. Measuring the stocks factor beta and identifying risk factors under market inefficiency. (2021). Semenov, Andrei .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:80:y:2021:i:c:p:635-649.

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53. Competition, profitability, and discount rates. (2021). Ji, Yan ; Dou, Winston Wei ; Wu, Wei.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:140:y:2021:i:2:p:582-620.

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54. Consistent inference for predictive regressions in persistent economic systems. (2021). Andersen, Torben ; Varneskov, Rasmus T.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:224:y:2021:i:1:p:215-244.

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55. Simple tests for stock return predictability with good size and power properties. (2021). Taylor, Robert ; Robert, A M ; Leybourne, Stephen J ; Harvey, David I.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:224:y:2021:i:1:p:198-214.

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56. Solving Euler equations via two-stage nonparametric penalized splines. (2021). Hong, Yongmiao ; Cui, Liyuan ; Li, Yingxing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:222:y:2021:i:2:p:1024-1056.

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57. Testing heteroskedasticity for predictive regressions with nonstationary regressors. (2021). Zhang, Zhengyi ; Hong, Shaoxin ; Cai, Zongwu.
    In: Economics Letters.
    RePEc:eee:ecolet:v:201:y:2021:i:c:s0165176521000586.

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58. Predicting equity premium using dynamic model averaging. Does the state–space representation matter?. (2021). Nonejad, Nima.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:57:y:2021:i:c:s106294082100070x.

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59. Do opinion polls on government preference influence stock returns?. (2021). Narayan, Seema.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:30:y:2021:i:c:s221463502100037x.

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60. Homeownership and portfolio choice over the generations. (2021). Paz-Pardo, Gonzalo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20212522.

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61. Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_8828.

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62. Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions. (2021). Pitarakis, Jean-Yves ; Gonzalo, Jesus ; da Silva, Anibal Emiliano.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:83:y:2021:i:3:p:713-741.

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63. A Unified test for the Intercept of a Predictive Regression Model. (2021). Rao, Yao ; Liu, Yuzi ; Lu, Fucai.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:83:y:2021:i:2:p:571-588.

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64. Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice. (2021). Peng, Bin ; Gao, Jiti ; Dong, Chaohua ; Tu, Yundong.
    In: Papers.
    RePEc:arx:papers:2111.02023.

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65. A New Multivariate Predictive Model for Stock Returns. (2021). Xie, Jianying.
    In: Papers.
    RePEc:arx:papers:2110.01873.

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66. A detailed look at crude oil price volatility prediction using macroeconomic variables. (2020). Nonejad, Nima.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:7:p:1119-1141.

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67. Low Frequency Robust Cointegrated Regression in the Presence of a Near-Unity Regressor. (2020). Hwang, Jungbin ; Valdes, Gonzalo.
    In: Working papers.
    RePEc:uct:uconnp:2020-03.

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68. Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models. (2020). Umlandt, Dennis.
    In: Working Paper Series.
    RePEc:trr:qfrawp:202006.

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69. The British Stock Market under the Structure of Market Capitalization Value: New Evidence on its Predictive Content. (2020). Georgiou, Catherine.
    In: International Journal of Business and Economic Sciences Applied Research (IJBESAR).
    RePEc:tei:journl:v:13:y:2020:i:3:p:56-69.

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70. Sustainability of European fiscal balances: Just a statistical artifact?. (2020). Rengel, Malte.
    In: Empirical Economics.
    RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1567-8.

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71. Biases in Long-Horizon Predictive Regressions. (2020). Richardson, Matthew P ; Israel, Ronen ; Boudoukh, Jacob .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:27410.

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72. In December Days are Shorter but Loans are Cheaper. (2020). Weill, Laurent ; Bertrand, Jeremie.
    In: Working Papers of LaRGE Research Center.
    RePEc:lar:wpaper:2020-02.

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73. A New Robust Inference for Asset Return Predictability Via Quantile Regression. (2020). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:202002.

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74. Dividend Growth Predictability and the Price–Dividend Ratio. (2020). Trojani, Fabio ; Piatti, Ilaria .
    In: Management Science.
    RePEc:inm:ormnsc:v:66:y:2020:i:1:p:130-158.

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75. Prediction of Stock Returns: Sum-of-the-Parts Method and Economic Constraint Method. (2020). Zhou, Huiting ; Dai, Zhifeng.
    In: Sustainability.
    RePEc:gam:jsusta:v:12:y:2020:i:2:p:541-:d:307513.

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76. A comprehensive empirical analysis of the predictive impact of the price of crude oil on aggregate equity return volatility. (2020). Nonejad, Nima.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:20:y:2020:i:c:s2405851319300868.

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77. Speculative bubbles in segmented markets: Evidence from Chinese cross-listed stocks. (2020). Pavlidis, Efthymios ; Vasilopoulos, Kostas.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620301789.

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78. Time series momentum: Is it there?. (2020). Zhou, Guofu ; Wang, Liyao ; Li, Jiangyuan ; Huang, Dashan .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:135:y:2020:i:3:p:774-794.

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79. The yield curve and the stock market: Mind the long run. (2020). Verona, Fabio ; Faria, Gonalo.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:50:y:2020:i:c:s138641811930134x.

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80. Aggregate implied cost of capital, option-implied information and equity premium predictability. (2020). Miebs, Felix ; Launhardt, Patrick.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319305343.

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81. Crude oil price volatility and equity return predictability: A comparative out-of-sample study. (2020). Nonejad, Nima.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301654.

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82. Cash-flow or return predictability at long horizons? The case of earnings yield. (2020). Xu, Danielle ; Maio, Paulo.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:59:y:2020:i:c:p:172-192.

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83. High-dimensional predictive regression in the presence of cointegration. (2020). Anderson, Heather ; Yao, Wenying ; Seo, Myung Hwan ; Koo, Bonsoo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:219:y:2020:i:2:p:456-477.

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84. Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects. (2020). Luger, Richard ; Gungor, Sermin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:218:y:2020:i:2:p:750-770.

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85. Hybrid stochastic local unit roots. (2020). Phillips, Peter ; Lieberman, Offer.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:215:y:2020:i:1:p:257-285.

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86. A new test of asset return predictability with an unstable predictor. (2020). Chang, Seong Yeon.
    In: Economics Letters.
    RePEc:eee:ecolet:v:196:y:2020:i:c:s0165176520303219.

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87. A robust test for predictability with unknown persistence. (2020). Yao, Shuang ; Liu, Guannan.
    In: Economics Letters.
    RePEc:eee:ecolet:v:189:y:2020:i:c:s0165176520300483.

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88. Site visit information content and return predictability: Evidence from China. (2020). Cao, Jiawei ; Yue, Sishi ; Dong, Dayong.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304280.

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89. What do movements in financial traders’ net long positions reveal about aggregate stock returns?. (2020). Dunbar, Kwamie ; Jiang, Jing.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303474.

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90. Forecasting stock market volatility: The role of technical variables. (2020). Liu, LI ; Pan, Zhiyuan.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:84:y:2020:i:c:p:55-65.

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91. Diagnosing Housing Fever with an Econometric Thermometer. (2020). Phillips, Peter ; Shi, Shuping.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:2248.

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92. Uncovering regimes in out of sample forecast errors from predictive regressions. (2020). Pitarakis, Jean-Yves ; Gonzalo, Jesus ; da Silva, Anibal Emiliano.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:31555.

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93. Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola.
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp677.

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94. Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713.

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95. Semiparametric Testing with Highly Persistent Predictors. (2020). Zhou, BO ; Werker, Bas.
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96. Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola.
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97. Locally trimmed least squares: conventional inference in possibly nonstationary models. (2020). Kasparis, Ioannis ; Hu, Zhishui ; Wang, Qiying.
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98. New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam.
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99. The Cointegrated VAR without Unit Roots: Representation Theory and Asymptotics. (2020). Simons, Jerome R ; Duffy, James A.
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100. Forecasting cryptocurrency returns and volume using search engines. (2019). Nasir, Muhammad Ali ; Huynh, Toan ; Duong, Duy ; Nguyen, Sang Phu ; Duc, Toan Luu.
     In: Financial Innovation.
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101. Bond–Equity Yield Ratio Market Timing in Emerging Markets. (2019). Ij, Janne ; Orlov, Vitaly ; Dimic, Nebojsa.
     In: Journal of Emerging Market Finance.
     RePEc:sae:emffin:v:18:y:2019:i:1:p:52-79.

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102. New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele.
     In: Working Paper series.
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103. Testing for Episodic Predictability in Stock Returns. (2019). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M ; Georgiev, Iliyan.
     In: Working Papers.
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104. Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion. (2019). Mehra, Rajnish ; Donaldson, John B.
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105. Semiparametric Single-index Predictive Regression. (2019). GAO, Jiti ; Kew, Hsein ; Harris, David ; Zhou, Weilun.
     In: Monash Econometrics and Business Statistics Working Papers.
     RePEc:msh:ebswps:2019-25.

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106. A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion. (2019). Skiadopoulos, George ; Faccini, Renato ; Sarantopoulou-Chiourea, Sylvia ; Konstantinidi, Eirini.
     In: Management Science.
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107. New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele.
     In: Econometrics Working Papers Archive.
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108. Institutions and return predictability in oil-exporting countries. (2019). Shugarman, Justin K ; Jahan-Parvar, Mohammad R ; Aramonte, Sirio.
     In: The Quarterly Review of Economics and Finance.
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109. Manager sentiment and stock returns. (2019). Zhou, Guofu ; Martin, Xiumin ; Lee, Joshua ; Jiang, Fuwei.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:132:y:2019:i:1:p:126-149.

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110. The walking debt crisis. (2019). Basse, Tobias ; Kruse, Robinson ; Wegener, Christoph.
     In: Journal of Economic Behavior & Organization.
     RePEc:eee:jeborg:v:157:y:2019:i:c:p:382-402.

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111. Structural instability and predictability. (2019). Devpura, Neluka ; Sharma, Susan Sunila ; Narayan, Paresh Kumar.
     In: Journal of International Financial Markets, Institutions and Money.
     RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119300150.

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112. Forecasting stock returns with cycle-decomposed predictors. (2019). Ma, Feng ; Yi, Yongsheng ; Huang, Dengshi ; Zhang, Yaojie.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:64:y:2019:i:c:p:250-261.

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113. The finite sample power of long-horizon predictive tests in models with financial bubbles. (2019). Ren, Dongmeng ; Maynard, Alex.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:63:y:2019:i:c:p:418-430.

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114. Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach. (2019). Floro, Danvee.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:62:y:2019:i:c:p:164-181.

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115. Determinants of stock-bond market comovement in the Eurozone under model uncertainty. (2019). Skintzi, Vasiliki D.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:61:y:2019:i:c:p:20-28.

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116. Balanced predictive regressions. (2019). Ren, Yu ; Yi, Yanping ; Tu, Yundong.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:54:y:2019:i:c:p:118-142.

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117. Macroeconomic environment, money demand and portfolio choice. (2019). Lioui, Abraham ; Tarelli, Andrea.
     In: European Journal of Operational Research.
     RePEc:eee:ejores:v:274:y:2019:i:1:p:357-374.

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118. Predictive quantile regressions under persistence and conditional heteroskedasticity. (2019). Lee, Ji Hyung ; Fan, Rui.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:213:y:2019:i:1:p:261-280.

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119. A unified test for predictability of asset returns regardless of properties of predicting variables. (2019). Liu, Xiaohui ; Peng, Liang ; Cai, Zongwu ; Yang, Bingduo.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:208:y:2019:i:1:p:141-159.

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120. The scale of predictability. (2019). Bandi, F M ; Tebaldi, C ; Tamoni, A ; Perron, B.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:208:y:2019:i:1:p:120-140.

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121. Predictive Regressions. (2019). Pitarakis, Jean-Yves ; Gonzalo, Jesus.
     In: UC3M Working papers. Economics.
     RePEc:cte:werepe:28554.

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122. Dividend cuts and predictability. (2018). Zhang, Tai-Wei ; Chen, Ruey-Shii.
     In: Journal of Economics and Finance.
     RePEc:spr:jecfin:v:42:y:2018:i:2:d:10.1007_s12197-017-9395-9.

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123. Size-corrected inference in fiscal policy reaction functions: a three country assessment. (2018). Herwartz, Helmut ; Rengel, Malte.
     In: Empirical Economics.
     RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1282-x.

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124. Aggregate Expected Investment Growth and Stock Market Returns. (2018). Yu, Jianfeng ; Wang, Huijun ; Li, Jun.
     In: ADBI Working Papers.
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125. Risk and return of a trend-chasing application in financial markets: an empirical test. (2018). Ilomaki, Jukka.
     In: Risk Management.
     RePEc:pal:risman:v:20:y:2018:i:3:d:10.1057_s41283-018-0036-1.

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126. Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis. (2018). Alcock, Jamie ; Andrlikova, Petra.
     In: The Journal of Real Estate Finance and Economics.
     RePEc:kap:jrefec:v:56:y:2018:i:2:d:10.1007_s11146-016-9593-9.

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127. A New Test In A Predictive Regression with Structural Breaks. (2018). Chang, Seong Yeon ; Cai, Zongwu.
     In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
     RePEc:kan:wpaper:201811.

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128. Unified Tests for a Dynamic Predictive Regression. (2018). Cai, Zongwu ; Peng, Liang ; Liu, Xiaohui ; Yang, Bingduo.
     In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
     RePEc:kan:wpaper:201808.

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129. Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Ilomäki, Jukka ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka.
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     RePEc:gam:jrisks:v:6:y:2018:i:4:p:105-:d:171554.

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130. Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?. (2018). LeRoy, Stephen ; Lansing, Kevin ; Ma, Jun.
     In: Working Paper Series.
     RePEc:fip:fedfwp:2018-14.

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131. Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, H ; Ilomaki, J ; Chang, C-L., .
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132. The scale of predictability. (2018). Tebaldi, C ; Tamoni, Andrea ; Perron, B ; Bandi, F M.
     In: LSE Research Online Documents on Economics.
     RePEc:ehl:lserod:85646.

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133. Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity. (2018). Chen, Yong ; Paye, Bradley S ; Eaton, Gregory W.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:130:y:2018:i:1:p:48-73.

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134. The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles. (2018). Yan, Cheng ; Wang, Xichen.
     In: Journal of International Financial Markets, Institutions and Money.
     RePEc:eee:intfin:v:56:y:2018:i:c:p:38-54.

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135. Is stock return predictability time-varying?. (2018). Devpura, Neluka ; Sharma, Susan Sunila ; Narayan, Paresh Kumar.
     In: Journal of International Financial Markets, Institutions and Money.
     RePEc:eee:intfin:v:52:y:2018:i:c:p:152-172.

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136. Forecasting the equity risk premium: The importance of regime-dependent evaluation. (2018). Baltas, Nick ; Karyampas, Dimitrios .
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:38:y:2018:i:c:p:83-102.

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137. Technical analysis and stock return predictability: An aligned approach. (2018). Lin, QI.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:38:y:2018:i:c:p:103-123.

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138. On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity. (2018). Doko Tchatoka, Firmin ; Wang, Wenjie.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:207:y:2018:i:1:p:188-211.

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139. Testing for parameter instability in predictive regression models. (2018). Taylor, Robert ; Leybourne, Stephen ; Harvey, David ; Robert, A M ; Georgiev, Iliyan.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:204:y:2018:i:1:p:101-118.

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140. Value Matters: The Long-run Behavior of Stock Index Returns. (2018). Angelini, Natascia ; Nardini, Franco ; Marmi, Stefano ; Bormetti, Giacomo.
     In: Review of Economics & Finance.
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141. The effects of microeconomic factors on the stock market: A panel for the stock exchange in Istanbul ARDL analysis. (2018). Sadeghzadeh, Khatereh.
     In: Theoretical and Applied Economics.
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142. .

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143. .

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144. .

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146. Stock return predictability: the role of inflation and threshold dynamics. (2017). McMillan, David G.
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147. Robust Bond Risk Premia. (2017). Hamilton, James ; Bauer, Michael.
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148. A simple nonlinear predictive model for stock returns. (2017). GAO, Jiti ; Cai, Biqing.
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149. Short- and Long-Run Business Conditions and Expected Returns. (2017). Yu, Jianfeng ; Wu, Weixing ; Tao, Libin ; Liu, QI.
     In: Management Science.
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150. International Stock Return Predictability: Evidence from New Statistical Tests. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie.
     In: Post-Print.
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151. Forecasting stock index futures returns with mixed-frequency sentiment. (2017). Gao, Bin ; Yang, Chunpeng.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:49:y:2017:i:c:p:69-83.

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152. Time-varying risk aversion and return predictability. (2017). Yoon, Sun-Joong .
     In: International Review of Economics & Finance.
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153. Maximum likelihood estimation of the equity premium. (2017). Avdis, Efstathios ; Wachter, Jessica A.
     In: Journal of Financial Economics.
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154. International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier.
     In: International Review of Financial Analysis.
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155. Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios.
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156. Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef.
     In: Journal of Empirical Finance.
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157. Bonferroni-based size-correction for nonstandard testing problems. (2017). McCloskey, Adam.
     In: Journal of Econometrics.
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158. Campbell and Cochrane meet Melino and Yang: Reverse engineering the surplus ratio in a Mehra–Prescott economy. (2017). Dolmas, Jim .
     In: The North American Journal of Economics and Finance.
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159. Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons. (2017). Chevillon, Guillaume.
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160. Latent Variable Nonparametric Cointegrating Regression. (2017). , Peter ; PEter, ; Lieberman, Offer.
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161. Hybrid Stochastic Local Unit Roots. (2017). Phillips, Peter ; PEter, ; Lieberman, Offer.
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162. A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond.
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163. A Simple Approach for Diagnosing Instabilities in Predictive Regressions. (2017). Pitarakis, Jean-Yves.
     In: Oxford Bulletin of Economics and Statistics.
     RePEc:bla:obuest:v:79:y:2017:i:5:p:851-874.

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164. Dynamic Asset Allocation with Liabilities. (2017). Giamouridis, Daniel ; Tessaromatis, Nikolaos ; Sakkas, Athanasios.
     In: European Financial Management.
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165. Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects. (2017). Luger, Richard ; Gungor, Sermin .
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167. The central bank as shaper and observer of events: The case of the yield spread. (2016). Florio, Anna.
     In: Canadian Journal of Economics/Revue canadienne d'économique.
     RePEc:wly:canjec:v:49:y:2016:i:1:p:320-346.

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168. THE IMPACT OF INVESTMENT HORIZON ON THE RETURN AND RISK OF INVESTMENTS IN SECURITIES IN LITHUANIA. (2016). Bugajevas, Andrius ; Pipiras, Marekas ; Urbiena, Laimuta .
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169. Do maternal health problems influence childs worrying status? Evidence from the British Cohort Study. (2016). Härdle, Wolfgang ; Yu, Keming ; Hardle, Wolfgang Karl ; Dai, Xianhua .
     In: Journal of Applied Statistics.
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170. Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence. (2016). Thomadakis, Apostolos.
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171. Climate Risks and Market Efficiency. (2016). Hong, Harrison ; Li, Frank Weikai ; Xu, Jiangmin .
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172. Simultaneous Estimation of Cost of Equity and Expected Earnings of Individual Firms with the Residual Income Model. (2016). Okuda, Tatsushi ; Asano, Takashi ; Adachi, Tetsuya .
     In: IMES Discussion Paper Series.
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173. Testing for predictability in panels of any time series dimension. (2016). , Joakimwesterlund ; Narayan, Paresh ; Westerlund, Joakim.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:32:y:2016:i:4:p:1162-1177.

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174. On the estimation and testing of predictive panel regressions. (2016). , Joakimwesterlund ; Karabiyik, Hande ; Narayan, Paresh ; Westerlund, Joakim.
     In: Journal of International Financial Markets, Institutions and Money.
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175. Long-term perspective on the stock market matters in asset pricing. (2016). Park, Heungju ; Sohn, Bumjean .
     In: Finance Research Letters.
     RePEc:eee:finlet:v:16:y:2016:i:c:p:162-170.

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176. Google searches and stock returns. (2016). Molnár, Peter ; Bijl, Laurens ; Molnar, Peter ; Sandvik, Eirik ; Kringhaug, Glenn .
     In: International Review of Financial Analysis.
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177. Panel multi-predictor test procedures with an application to emerging market sovereign risk. (2016). Thuraisamy, Kannan ; Westerlund, Joakim.
     In: Emerging Markets Review.
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178. Intraday return predictability, portfolio maximisation, and hedging. (2016). Sharma, Susan ; Narayan, Paresh Kumar.
     In: Emerging Markets Review.
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179. Stock return predictability and determinants of predictability and profits. (2016). Narayan, Paresh ; Bannigidadmath, Deepa.
     In: Emerging Markets Review.
     RePEc:eee:ememar:v:26:y:2016:i:c:p:153-173.

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180. Robust econometric inference with mixed integrated and mildly explosive regressors. (2016). Phillips, Peter ; Lee, Ji Hyung.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:192:y:2016:i:2:p:433-450.

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181. A reexamination of stock return predictability. (2016). Choi, Yongok ; Park, Joon Y ; Jacewitz, Stefan .
     In: Journal of Econometrics.
     RePEc:eee:econom:v:192:y:2016:i:1:p:168-189.

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182. Predictive quantile regression with persistent covariates: IVX-QR approach. (2016). Lee, Ji Hyung ; Hyung, JI.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:192:y:2016:i:1:p:105-118.

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183. Horizon effect in the term structure of long-run risk-return trade-offs. (2016). Okou, Cedric ; Jacquier, Eric .
     In: Computational Statistics & Data Analysis.
     RePEc:eee:csdana:v:100:y:2016:i:c:p:445-466.

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184. The central bank as shaper and observer of events: The case of the yield spread. (2016). Florio, Anna.
     In: Canadian Journal of Economics.
     RePEc:cje:issued:v:49:y:2016:i:1:p:320-346.

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185. Financial Conditions Indicators for Brazil. (2016). Gaglianone, Wagner ; Areosa, Waldyr.
     In: Working Papers Series.
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186. Predictability Hidden by Anomalous Observations. (2016). Trojani, Fabio ; Scaillet, Olivier ; Camponovo, Lorenzo.
     In: Papers.
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187. PREDICTING STOCK RETURNS — THE INFORMATION CONTENT OF PREDICTORS ACROSS HORIZONS. (2015). Deng, Kaihua ; Kim, Chang-Jin.
     In: Annals of Financial Economics (AFE).
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188. A simple approach for diagnosing instabilities in predictive regressions. (2015). Pitarakis, Jean-Yves.
     In: Discussion Paper Series In Economics And Econometrics.
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189. Inferring the predictability induced by a persistent regressor in a predictive threshold model. (2015). Pitarakis, Jean-Yves ; Gonzalo, Jesus.
     In: Discussion Paper Series In Economics And Econometrics.
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190. Predictive quantile regression with persistent covariates: IVX-QR approach. (2015). Lee, Ji Hyung.
     In: MPRA Paper.
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191. A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models. (2015). Muteba Mwamba, John Weirstrasd ; Bonga-Bonga, Lumengo.
     In: MPRA Paper.
     RePEc:pra:mprapa:62028.

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192. The Financial Econometrics of Price Discovery and Predictability. (2015). Smyth, Russell ; Narayan, Seema.
     In: Monash Economics Working Papers.
     RePEc:mos:moswps:2015-06.

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193. Exchange Rates and Fundamentals: A New Look at the Evidence on Long-Horizon Predictability. (2015). Dutt, Swarna ; Austin, Adrian .
     In: Atlantic Economic Journal.
     RePEc:kap:atlecj:v:43:y:2015:i:1:p:147-159.

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194. The Asset-Pricing Implications of Government Economic Policy Uncertainty. (2015). Brogaard, Jonathan ; Detzel, Andrew.
     In: Management Science.
     RePEc:inm:ormnsc:v:61:y:2015:i:1:p:3-18.

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195. Time-Varying Stock Return Predictability: The Eurozone Case. (2015). Silva, Nuno Miguel Barateiro.
     In: Notas Económicas.
     RePEc:gmf:journl:y:2015:i:41:p:28-38.

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196. Robust bond risk premia. (2015). Hamilton, James ; Bauer, Michael.
     In: Working Paper Series.
     RePEc:fip:fedfwp:2015-15.

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197. Credit conditions and stock return predictability. (2015). Gallmeyer, Michael ; Chava, Sudheer ; Park, Heungju .
     In: Journal of Monetary Economics.
     RePEc:eee:moneco:v:74:y:2015:i:c:p:117-132.

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198. Foreign exchange risk and the term-structure of industry costs of equity. (2015). Krapl, Alain ; Giaccotto, Carmelo .
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:51:y:2015:i:c:p:71-88.

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199. Are Indian stock returns predictable?. (2015). Narayan, Paresh Kumar ; Bannigidadmath, Deepa .
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:58:y:2015:i:c:p:506-531.

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200. Predictability of stock returns of financial companies and the role of investor sentiment: A multi-country analysis. (2015). Kadilli, Anjeza .
     In: Journal of Financial Stability.
     RePEc:eee:finsta:v:21:y:2015:i:c:p:26-45.

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201. The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:42:y:2015:i:c:p:380-393.

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202. Functional index coefficient models with variable selection. (2015). CAI, ZONGWU ; Yang, Bingduo ; Juhl, Ted .
     In: Journal of Econometrics.
     RePEc:eee:econom:v:189:y:2015:i:2:p:272-284.

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203. Instrumental variable and variable addition based inference in predictive regressions. (2015). Demetrescu, Matei ; Breitung, Jörg.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:187:y:2015:i:1:p:358-375.

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204. What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio. (2015). Warusawitharana, Missaka ; Wachter, Jessica A..
     In: Journal of Econometrics.
     RePEc:eee:econom:v:186:y:2015:i:1:p:74-93.

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205. Nonparametric predictive regression. (2015). Phillips, Peter ; Andreou, Elena ; Phillips, Peter C. B., ; Kasparis, Ioannis.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:185:y:2015:i:2:p:468-494.

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206. The term structure of implied dividend yields and expected returns. (2015). Bilson, John ; Bilson, John F. O., ; Kang, Sang Baum ; Luo, Hong.
     In: Economics Letters.
     RePEc:eee:ecolet:v:128:y:2015:i:c:p:9-13.

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207. Is carbon emissions trading profitable?. (2015). Sharma, Susan ; Narayan, Paresh.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:47:y:2015:i:c:p:84-92.

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208. The scale of predictability. (2015). Tebaldi, Claudio ; Perron, Benoit ; Bandi, Federico M. ; Tamoni, Andrea .
     In: CIRANO Working Papers.
     RePEc:cir:cirwor:2015s-21.

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209. Robust Bond Risk Premia. (2015). Hamilton, James ; Bauer, Michael.
     In: CESifo Working Paper Series.
     RePEc:ces:ceswps:_5541.

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210. Unbalanced Regressions and the Predictive Equation. (2015). Ventosa-Santaulària, Daniel ; Vera-Valdés, J ; Vera-Valdes, Eduardo J. ; Ventosa-Santaularia, Daniel ; Osterrieder, Daniela .
     In: CREATES Research Papers.
     RePEc:aah:create:2015-09.

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211. The output gap and expected security returns. (2014). Biswas, Anindya.
     In: Review of Financial Economics.
     RePEc:wly:revfec:v:23:y:2014:i:3:p:131-140.

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212. Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series. (2014). Song, Song ; Härdle, Wolfgang ; Ritov, Ya'acov ; Hardle, Wolfgang K..
     In: Econometrics Journal.
     RePEc:wly:emjrnl:v:17:y:2014:i:2:p:s101-s131.

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213. Ambiguity and Reality. (2014). Wrampelmeyer, Jan ; Trojani, Fabio ; Wiehenkamp, Christian .
     In: Working Papers on Finance.
     RePEc:usg:sfwpfi:2014:18.

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214. External Balances, Trade Flows and Financial Conditions. (2014). Evans, Martin.
     In: MPRA Paper.
     RePEc:pra:mprapa:55644.

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215. Expectations of Returns and Expected Returns. (2014). Shleifer, Andrei ; Greenwood, Robin Marc .
     In: Scholarly Articles.
     RePEc:hrv:faseco:11880390.

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216. The output gap and expected security returns. (2014). Biswas, Anindya.
     In: Review of Financial Economics.
     RePEc:eee:revfin:v:23:y:2014:i:3:p:131-140.

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217. External balances, trade flows and financial conditions. (2014). Evans, Martin ; Evans, Martin D. D., .
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:48:y:2014:i:pb:p:271-290.

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218. Importance of skewness in decision making: Evidence from the Indian stock exchange. (2014). Narayan, Paresh ; Ahmed, Huson Ali .
     In: Global Finance Journal.
     RePEc:eee:glofin:v:25:y:2014:i:3:p:260-269.

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219. Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement. (2014). McMillan, David G..
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:35:y:2014:i:c:p:90-101.

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220. Do oil prices predict economic growth? New global evidence. (2014). Westerlund, Joakim ; Sharma, Susan ; Poon, Wai-Ching ; Narayan, Paresh.
     In: Energy Economics.
     RePEc:eee:eneeco:v:41:y:2014:i:c:p:137-146.

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221. Quantiles of the realized stock–bond correlation and links to the macroeconomy. (2014). Christiansen, Charlotte ; Aslanidis, Nektarios.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:28:y:2014:i:c:p:321-331.

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222. Testing predictive regression models with nonstationary regressors. (2014). CAI, ZONGWU ; Wang, Yunfei .
     In: Journal of Econometrics.
     RePEc:eee:econom:v:178:y:2014:i:p1:p:4-14.

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223. Enhancing the local power of IVX-based tests in predictive regressions. (2014). Demetrescu, Matei.
     In: Economics Letters.
     RePEc:eee:ecolet:v:124:y:2014:i:2:p:269-273.

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224. Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs. (2014). Okou, Cedric ; Jacquier, Eric .
     In: CIRANO Working Papers.
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225. Sequential Learning, Predictability, and Optimal Portfolio Returns. (2014). Korteweg, Arthur ; Polson, Nicholas ; Johannes, Michael .
     In: Journal of Finance.
     RePEc:bla:jfinan:v:69:y:2014:i:2:p:611-644.

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226. Predictive regressions for macroeconomic data. (2014). CAI, ZONGWU ; Zhu, Fukang ; Peng, Liang.
     In: Papers.
     RePEc:arx:papers:1404.7642.

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227. Fama on bubbles. (2014). Engsted, Tom.
     In: CREATES Research Papers.
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228. Nonparametric Regression With Nearly Integrated Regressors Under Long Run Dependence. (2013). CAI, ZONGWU ; Jing, Bing-Yi ; Liu, Zhi ; Kong, Xin-Bing.
     In: Working Papers.
     RePEc:wyi:wpaper:002020.

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229. Some Recent Developments in Nonparametric Finance. (2013). Hong, Yongmiao ; CAI, ZONGWU.
     In: Working Papers.
     RePEc:wyi:wpaper:002011.

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230. Long‐Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework. (2013). Ma, Jun.
     In: Journal of Money, Credit and Banking.
     RePEc:wly:jmoncb:v:45:y:2013:i:1:p:121-145.

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231. Robust block bootstrap panel predictability tests. (2013). Westerlund, Joakim ; Smeekes, Stephan ; Smeekes S., ; Westerlund J., .
     In: Research Memorandum.
     RePEc:unm:umagsb:2013060.

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232. Equity issues and aggregate market returns under information asymmetry. (2013). Lee, Bong-Soo ; Jiang, Xiaoquan .
     In: Quantitative Finance.
     RePEc:taf:quantf:v:13:y:2013:i:2:p:281-300.

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233. Consumption, change in expectations and equity returns. (2013). Quijano, Margot.
     In: Applied Financial Economics.
     RePEc:taf:apfiec:v:23:y:2013:i:24:p:1839-1851.

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234. UK stock market predictability: evidence of time variation. (2013). Wohar, Mark ; McMillan, David.
     In: Applied Financial Economics.
     RePEc:taf:apfiec:v:23:y:2013:i:12:p:1043-1055.

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235. Further evidence on bear market predictability: The role of the external finance premium. (2013). Chen, Shiu-Sheng ; Chou, Yu-Hsi.
     In: MPRA Paper.
     RePEc:pra:mprapa:49093.

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236. Maximum likelihood estimation of the equity premium. (2013). Wachter, Jessica ; Avdis, Efstathios .
     In: NBER Working Papers.
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237. Expectations of Returns and Expected Returns. (2013). Shleifer, Andrei ; Greenwood, Robin.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:18686.

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238. Hermite Series Estimation in Nonlinear Cointegrating Models. (2013). GAO, Jiti ; Cai, Biqing .
     In: Monash Econometrics and Business Statistics Working Papers.
     RePEc:msh:ebswps:2013-17.

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239. Robust Estimation and Inference for Threshold Models with Integrated Regressors. (2013). Chen, Haiqiang.
     In: SFB 649 Discussion Papers.
     RePEc:hum:wpaper:sfb649dp2013-034.

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240. Learning generates Long Memory. (2013). Mavroeidis, Sophocles ; Chevillon, Guillaume.
     In: Post-Print.
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241. Equity Premia Predictability in the EuroZone. (2013). Silva, Nuno Miguel Barateiro.
     In: GEMF Working Papers.
     RePEc:gmf:wpaper:2013-22..

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242. Consumption and stock prices: Evidence from a small international panel. (2013). McMillan, David G..
     In: Journal of Macroeconomics.
     RePEc:eee:jmacro:v:36:y:2013:i:c:p:76-88.

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243. The second moment matters! Cross-sectional dispersion of firm valuations and expected returns. (2013). Jiang, Danling.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:37:y:2013:i:10:p:3974-3992.

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244. Time varying stock return predictability: Evidence from US sectors. (2013). Wohar, Mark ; Guidolin, Massimo ; McMillan, David G..
     In: Finance Research Letters.
     RePEc:eee:finlet:v:10:y:2013:i:1:p:34-40.

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245. Predictive regression under various degrees of persistence and robust long-horizon regression. (2013). Phillips, Peter ; Lee, Ji Hyung ; Phillips, Peter C. B., .
     In: Journal of Econometrics.
     RePEc:eee:econom:v:177:y:2013:i:2:p:250-264.

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246. Low-frequency robust cointegration testing. (2013). Watson, Mark ; Muller, Ulrich K..
     In: Journal of Econometrics.
     RePEc:eee:econom:v:174:y:2013:i:2:p:66-81.

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247. Tests for m-dependence based on sample splitting methods. (2013). Velasco, Carlos ; Moon, Seongman.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:173:y:2013:i:2:p:143-159.

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248. Forecasting Stock Returns. (2013). Rapach, David ; Zhou, Guofu.
     In: Handbook of Economic Forecasting.
     RePEc:eee:ecofch:2-328.

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249. Co-summability from linear to non-linear cointegration. (2013). Gonzalo, Jesus ; Berenguer-Rico, Vanessa ; BerenguerRico, Vanessa .
     In: UC3M Working papers. Economics.
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250. Nonparametric Predictive Regression. (2013). Phillips, Peter ; Andreou, Elena ; Phillips, Peter C. B., ; Kasparis, Ioannis.
     In: CEPR Discussion Papers.
     RePEc:cpr:ceprdp:9570.

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251. Value versus growth: Australian evidence. (2013). Gharghori, Philip ; Veeraraghavan, Madhu ; Stryjkowski, Sebastian .
     In: Accounting and Finance.
     RePEc:bla:acctfi:v:53:y:2013:i:2:p:393-417.

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252. Low-Frequency Waves and the Medium to Long-Term US Stock Market Outlook. (2013). Zakamulin, Valeriy.
     In: Papers.
     RePEc:arx:papers:1203.2250.

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253. Nonparametric Predictive Regression. (2012). Phillips, Peter ; Andreou, Elena ; Peter C. B. Phillips, ; Kasparis, Ioannis.
     In: University of Cyprus Working Papers in Economics.
     RePEc:ucy:cypeua:14-2012.

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254. Limiting experiments for panel-data and jump-diffusion models. (2012). Becheri, I. G..
     In: Other publications TiSEM.
     RePEc:tiu:tiutis:7e53f6cf-fab1-4f86-9e5d-b08b373f1c4e.

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255. Does Stock Return Predictability Affect ESO Fair Value?. (2012). Vaello-Sebastià, Antoni ; CARMONA, JULIO ; Len, Angel .
     In: QM&ET Working Papers.
     RePEc:ris:qmetal:2011_002.

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256. Let´s do it again: bagging equity premium predictors. (2012). Medeiros, Marcelo ; Lee, Tae Hwy ; Hillebrand, Eric.
     In: Textos para discussão.
     RePEc:rio:texdis:604.

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257. Endogenous Dividend Dynamics and the Term Structure of Dividend Strips. (2012). Belo, Frederico ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
     In: NBER Working Papers.
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258. Prévoir sans persistance. (2012). Maillet, Bertrand ; Boucher, Christophe.
     In: Documents de travail du Centre d'Economie de la Sorbonne.
     RePEc:mse:cesdoc:12001.

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259. E/P Mean Reversion-Based Strategies for Investment Practice: Evidence from the Taiwan Market. (2012). Gong, Shang-Chi ; Lin, Yan-Ting ; Lee, Tsung-Pei .
     In: Emerging Markets Finance and Trade.
     RePEc:mes:emfitr:v:48:y:2012:i:1:p:117-131.

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260. Prévoir sans persistance. (2012). Maillet, Bertrand ; Boucher, Christophe.
     In: Post-Print.
     RePEc:hal:journl:halshs-00662771.

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261. Inflation-Hedging Portfolios : Economic Regimes Matter. (2012). Signori, Ombretta ; Briere, Marie.
     In: Post-Print.
     RePEc:hal:journl:hal-01494498.

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262. Prévoir sans persistance. (2012). Maillet, Bertrand.
     In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
     RePEc:hal:cesptp:halshs-00662771.

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263. Nonparametric prediction of stock returns guided by prior knowledge. (2012). Sperlich, Stefan ; Nielsen, Jens Perch ; Scholz, Michael.
     In: Graz Economics Papers.
     RePEc:grz:wpaper:2012-02.

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264. Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Timmermann, Allan ; Hansen, Peter.
     In: Economics Working Papers.
     RePEc:eui:euiwps:eco2012/10.

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265. The predictability of aggregate Japanese stock returns: Implications of dividend yield. (2012). Chen, Sichong.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:22:y:2012:i:1:p:284-304.

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266. U.S. industry-level returns and oil prices. (2012). Jahan-Parvar, Mohammad ; Fan, Qinbin .
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:22:y:2012:i:1:p:112-128.

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267. The current account as a dynamic portfolio choice problem. (2012). Didier, Tatiana ; Lowenkron, Alexandre .
     In: Journal of the Japanese and International Economies.
     RePEc:eee:jjieco:v:26:y:2012:i:4:p:518-541.

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268. Multifactor models and their consistency with the ICAPM. (2012). Santa-Clara, Pedro ; Maio, Paulo.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:106:y:2012:i:3:p:586-613.

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269. ‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables. (2012). Paye, Bradley S..
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:106:y:2012:i:3:p:527-546.

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270. Investor attention, psychological anchors, and stock return predictability. (2012). Yu, Jianfeng ; Li, Jun.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:104:y:2012:i:2:p:401-419.

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271. Does the choice of estimator matter when forecasting returns?. (2012). Westerlund, Joakim ; Narayan, Paresh.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:36:y:2012:i:9:p:2632-2640.

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272. Pitfalls in VAR based return decompositions: A clarification. (2012). Pedersen, Thomas ; Engsted, Tom ; Tanggaard, Carsten .
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:36:y:2012:i:5:p:1255-1265.

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273. Bond risk, bond return volatility, and the term structure of interest rates. (2012). Viceira, Luis.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:28:y:2012:i:1:p:97-117.

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274. Some curious power properties of long-horizon tests. (2012). Hjalmarsson, Erik.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:9:y:2012:i:2:p:81-91.

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275. Smooth transition patterns in the realized stock–bond correlation. (2012). Christiansen, Charlotte ; Aslanidis, Nektarios.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:19:y:2012:i:4:p:454-464.

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276. Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model. (2012). Pedersen, Thomas ; Engsted, Tom.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:19:y:2012:i:2:p:241-253.

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277. Does stock return predictability affect ESO fair value?. (2012). Vaello-Sebastià, Antoni ; Leon, Angel ; Carmona, Julio ; Vaello-Sebastia, Antoni .
     In: European Journal of Operational Research.
     RePEc:eee:ejores:v:223:y:2012:i:1:p:188-202.

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278. Testing the single-factor model in the presence of persistent regressors. (2012). Miyanishi, Masako .
     In: Economics Letters.
     RePEc:eee:ecolet:v:116:y:2012:i:3:p:634-636.

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279. Inflation-Hedging Portfolios : Economic Regimes Matter. (2012). Briere, Marie ; Signori, Ombretta.
     In: Economics Papers from University Paris Dauphine.
     RePEc:dau:papers:123456789/9296.

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280. Nonparametric Predictive Regression. (2012). Phillips, Peter ; Andreou, Elena ; Peter C. B. Phillips, ; Kasparis, Ioannis.
     In: Cowles Foundation Discussion Papers.
     RePEc:cwl:cwldpp:1878.

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281. Disaster Risk and Business Cycles. (2012). Gourio, Francois.
     In: American Economic Review.
     RePEc:aea:aecrev:v:102:y:2012:i:6:p:2734-66.

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282. The Forward Discount Puzzle: Identi cation of Economic Assumptions. (2011). Velasco, Carlos ; Moon, Seongman.
     In: Working Papers.
     RePEc:sgo:wpaper:1112.

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283. Tests for m-dependence Based on Sample Splitting Methods. (2011). Velasco, Carlos ; Moon, Seongman.
     In: Working Papers.
     RePEc:sgo:wpaper:1108.

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284. A Class of Robust Tests in Augmented Predictive Regressions. (2011). Rodrigues, Paulo ; Rubia, Antonio ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, .
     In: Working Papers.
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285. Does the BEYR help predict UK sector returns?. (2011). McMillan, David G.
     In: Journal of Asset Management.
     RePEc:pal:assmgt:v:12:y:2011:i:2:d:10.1057_jam.2011.3.

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286. What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio. (2011). Wachter, Jessica ; Warusawitharana, Missaka.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:17334.

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287. U.S. International Equity Investment and Past and Prospective Returns. (2011). Wongswan, Jon ; Warnock, Francis ; Thomas, Charles ; CharlesP. Thomas, ; Curcuru, Stephanie E..
     In: NBER Working Papers.
     RePEc:nbr:nberwo:16677.

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288. The Predictability of Non-Overlapping Forecasts: Evidence from a New Market. (2011). VISVIKIS, ILIAS ; Kavussanos, Manolis.
     In: Multinational Finance Journal.
     RePEc:mfj:journl:v:15:y:2011:i:1-2:p:125-156.

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289. Forecasting Japanese Stock Returns with Financial Ratios and Other Variables. (2011). .
     In: Asia-Pacific Financial Markets.
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290. Estimation and Inference in Predictive Regressions. (2011). Kurozumi, Eiji ; Aono, Kohei .
     In: Global COE Hi-Stat Discussion Paper Series.
     RePEc:hst:ghsdps:gd11-192.

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291. Detrending Persistent Predictors. (2011). Maillet, Bertrand ; Boucher, Christophe.
     In: Post-Print.
     RePEc:hal:journl:halshs-00587775.

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292. U.S. international equity investment and past prospective returns. (2011). Wongswan, Jon ; Warnock, Francis ; Thomas, Charles ; CharlesP. Thomas, ; Curcuru, Stephanie E..
     In: International Finance Discussion Papers.
     RePEc:fip:fedgif:1016.

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293. Utilizing financial market information in forecasting real growth, inflation and real exchange rate. (2011). Korhonen, Marko ; Junttila, Juha.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:20:y:2011:i:2:p:281-301.

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294. Disagreement and return predictability of stock portfolios. (2011). Yu, Jialin .
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:99:y:2011:i:1:p:162-183.

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295. Forecasting stock market returns: The sum of the parts is more than the whole. (2011). Santa-Clara, Pedro ; Ferreira, Miguel.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:100:y:2011:i:3:p:514-537.

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296. Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios. (2011). Panayotov, George ; Bakshi, Gurdip ; Skoulakis, Georgios .
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:100:y:2011:i:3:p:475-495.

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297. Treasury Bond risk and return, the implications for the hedging of consumption and lessons for asset pricing. (2011). Pilotte, Eugene A. ; Michelfelder, Richard A..
     In: Journal of Economics and Business.
     RePEc:eee:jebusi:v:63:y:2011:i:6:p:582-604.

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298. A control function approach for testing the usefulness of trending variables in forecast models and linear regression. (2011). Elliott, Graham.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:164:y:2011:i:1:p:79-91.

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299. Learning generates Long Memory. (2011). Mavroeidis, Sophocles ; Chevillon, Guillaume.
     In: ESSEC Working Papers.
     RePEc:ebg:essewp:dr-11013.

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300. Inflation-hedging Portfolios in Different Regimes. (2011). Briere, Marie ; Signori, Ombretta.
     In: Economics Papers from University Paris Dauphine.
     RePEc:dau:papers:123456789/7744.

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301. Inflation hedging portfolios in different regimes. (2011). Briere, Marie ; Signori, Ombretta.
     In: BIS Papers chapters.
     RePEc:bis:bisbpc:58-08.

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302. REIT idiosyncratic risk. (2010). Kevin C. H. Chiang, ; Jiang, Xiaguan .
     In: Journal of Property Research.
     RePEc:taf:jpropr:v:26:y:2010:i:4:p:349-366.

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303. Regime specific predictability in predictive regressions. (2010). Pitarakis, Jean-Yves ; Gonzalo, Jesus.
     In: Discussion Paper Series In Economics And Econometrics.
     RePEc:stn:sotoec:0916.

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304. The determinants of increasing equity market comovement: economic or financial integration?. (2010). Baele, Lieven ; Soriano, Pilar.
     In: Review of World Economics (Weltwirtschaftliches Archiv).
     RePEc:spr:weltar:v:146:y:2010:i:3:p:573-589.

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305. Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies. (2010). Österholm, Pär ; Hjalmarsson, Erik ; Osterholm, Par.
     In: Empirical Economics.
     RePEc:spr:empeco:v:39:y:2010:i:1:p:51-76.

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306. Regime Specific Predictability in Predictive Regressions. (2010). Pitarakis, Jean-Yves ; Gonzalo, Jesus.
     In: MPRA Paper.
     RePEc:pra:mprapa:29190.

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307. Can Exchange Rates Forecast Commodity Prices?. (2010). Rossi, Barbara ; Rogoff, Kenneth ; Chen, Yu-Chin.
     In: The Quarterly Journal of Economics.
     RePEc:oup:qjecon:v:125:y:2010:i:3:p:1145-1194..

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308. Asset Allocation. (2010). Wachter, Jessica.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:16255.

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309. On the Predictability of Japanese Stock Returns Using Dividend Yield. (2010). .
     In: Asia-Pacific Financial Markets.
     RePEc:kap:apfinm:v:17:y:2010:i:2:p:141-149.

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310. Stock return predictability and dividend-price ratio: a nonlinear approach. (2010). Wohar, Mark ; McMillan, David G..
     In: International Journal of Finance & Economics.
     RePEc:ijf:ijfiec:v:15:y:2010:i:4:p:351-365.

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311. Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns. (2010). Polk, Christopher ; Campbell, John ; Vuolteenaho, Tuomo .
     In: Scholarly Articles.
     RePEc:hrv:faseco:9887622.

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312. Understanding the Dynamics of the US External Position. (2010). Fuertes, Alberto ; Evans, Martin.
     In: Working Papers.
     RePEc:geo:guwopa:gueconwpa~10-10-05.

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313. Equity premium predictions with adaptive macro indexes. (2010). Bai, Jennie.
     In: Staff Reports.
     RePEc:fip:fednsr:475.

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314. International stock return predictability under model uncertainty. (2010). Schrimpf, Andreas.
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:29:y:2010:i:7:p:1256-1282.

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315. Aggregate insider trading: Contrarian beliefs or superior information?. (2010). Zaman, Mir A. ; Jiang, Xiaoquan .
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:34:y:2010:i:6:p:1225-1236.

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316. Stock and bond returns with Moody Investors. (2010). Engstrom, Eric ; Bekaert, Geert ; Grenadier, Steven R..
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:17:y:2010:i:5:p:867-894.

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317. The dividend-price ratio does predict dividend growth: International evidence. (2010). Pedersen, Thomas ; Engsted, Tom.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:17:y:2010:i:4:p:585-605.

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318. Expected returns on value, growth, and HML. (2010). Rytchkov, Oleg.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:17:y:2010:i:4:p:552-565.

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319. When does the dividend-price ratio predict stock returns?. (2010). Park, Cheolbeom.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:17:y:2010:i:1:p:81-101.

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320. Modelling and measuring price discovery in commodity markets. (2010). Gonzalo, Jesus ; Figuerola-Ferretti, Isabel .
     In: Journal of Econometrics.
     RePEc:eee:econom:v:158:y:2010:i:1:p:95-107.

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321. Can Exchange Rates Forecast Commodity Prices?. (2010). Rossi, Barbara ; Rogoff, Kenneth ; Chen, Yu-Chin .
     In: Working Papers.
     RePEc:duk:dukeec:10-07.

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322. Regime specific predictability in predictive regressions. (2010). Pitarakis, Jean-Yves ; Gonzalo, Jesus ; Piterakis, Jean-Ives .
     In: UC3M Working papers. Economics.
     RePEc:cte:werepe:we097844.

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323. An Intertemporal Capital Asset Pricing Model with Owner-Occupied Housing. (2010). Chu, Yongqiang.
     In: Real Estate Economics.
     RePEc:bla:reesec:v:38:y:2010:i:3:p:427-465.

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324. On the look-out for the bear: Predicting stock market downturns in G7 countries. (2009). Friedrich, Christian ; Klein, Melanie .
     In: Kiel Advanced Studies Working Papers.
     RePEc:zbw:ifwasw:451.

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325. The current account as a dynamic portfolio choice problem. (2009). Didier, Tatiana ; Lowenkron, Alexandre .
     In: Policy Research Working Paper Series.
     RePEc:wbk:wbrwps:4861.

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326. Can Exchange Rates Forecast Commodity Prices?. (2009). Rossi, Barbara ; Rogoff, Kenneth ; Chen, Yu-chin.
     In: Working Papers.
     RePEc:udb:wpaper:uwec-2008-11-fc.

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327. In-sample and out-of-sample properties of international stock return dynamics conditional on equilibrium pricing factors. (2009). Herwartz, Helmut ; Morales-Arias, Leonardo .
     In: The European Journal of Finance.
     RePEc:taf:eurjfi:v:15:y:2009:i:1:p:1-28.

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328. Inflation-hedging portfolios in Different Regimes. (2009). Signori, Ombretta ; Brière, Marie ; Briere, Marie.
     In: Working Papers CEB.
     RePEc:sol:wpaper:09-047.

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329. US Industry-Level Returns and Oil Prices. (2009). Jahan-Parvar, Mohammad ; Fan, Qinbin .
     In: MPRA Paper.
     RePEc:pra:mprapa:15670.

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330. Disasters Risk and Business Cycles. (2009). Gourio, Francois.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:15399.

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331. Low-Frequency Robust Cointegration Testing. (2009). Watson, Mark ; Mller, Ulrich .
     In: NBER Working Papers.
     RePEc:nbr:nberwo:15292.

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332. Confidence intervals for long-horizon predictive regressions via reverse regressions. (2009). Wei, Min ; Wright, Jonathan.
     In: Finance and Economics Discussion Series.
     RePEc:fip:fedgfe:2009-27.

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333. What is the chance that the equity premium varies over time? evidence from predictive regressions. (2009). Wachter, Jessica.
     In: Finance and Economics Discussion Series.
     RePEc:fip:fedgfe:2009-26.

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334. Revisiting dividend yield dynamics and returns predictability: Evidence from a time-varying ESTR model. (2009). McMillan, David G..
     In: The Quarterly Review of Economics and Finance.
     RePEc:eee:quaeco:v:49:y:2009:i:3:p:870-883.

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335. Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence. (2009). Wohar, Mark ; Rapach, David E..
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:28:y:2009:i:3:p:427-453.

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336. Predictability in financial markets: What do survey expectations tell us?. (2009). van Wincoop, Eric ; Mertens, Elmar ; Bacchetta, Philippe.
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:28:y:2009:i:3:p:406-426.

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337. On the reversal of return and dividend growth predictability: A tale of two periods. (2009). Chen, Long.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:92:y:2009:i:1:p:128-151.

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338. Testing the expectations hypothesis when interest rates are near integrated. (2009). Österholm, Pär ; Hjalmarsson, Erik ; Beechey, Meredith.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:33:y:2009:i:5:p:934-943.

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339. Bond risk premia and realized jump risk. (2009). Zhou, Hao ; Wright, Jonathan H..
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:33:y:2009:i:12:p:2333-2345.

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340. Jackknifing stock return predictions. (2009). Hjalmarsson, Erik ; Chiquoine, Benjamin .
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:16:y:2009:i:5:p:793-803.

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341. Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408.

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342. Negative earnings, positive earnings and stock return predictability: An empirical examination of market timing. (2009). Giannetti, Antoine ; Barnhart, Scott W..
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:16:y:2009:i:1:p:70-86.

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343. Predictable returns and asset allocation: Should a skeptical investor time the market?. (2009). Wachter, Jessica ; Warusawitharana, Missaka.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:148:y:2009:i:2:p:162-178.

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344. Functional-coefficient models for nonstationary time series data. (2009). Park, Joon ; Li, Qi ; CAI, ZONGWU.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:148:y:2009:i:2:p:101-113.

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345. Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model. (2009). Chang, Kuang-Liang.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:26:y:2009:i:6:p:1283-1299.

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346. The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy. (2009). Fernandez, Pablo ; Liechtenstein, Heinrich ; Aguirreamalloa, Javier .
     In: IESE Research Papers.
     RePEc:ebg:iesewp:d-0821.

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347. The Other January Effect: International Evidence. (2009). Salm, Christian A. ; Bohl, Martin T..
     In: CQE Working Papers.
     RePEc:cqe:wpaper:0809.

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348. Long-Run PPP under the Presence of Near-to-Unit Roots: The Case of the British Pound-US Dollar Rate. (2009). pittis, nikitas ; Kalyvitis, Sarantis ; Christou, Christina ; Hassapis, Christis.
     In: Review of International Economics.
     RePEc:bla:reviec:v:17:y:2009:i:1:p:144-155.

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349. Common Divisors, Payout Persistence, and Return Predictability. (2009). Shi, Jing ; Smith, Tom ; Whaley, Robert ; Powell, John .
     In: International Review of Finance.
     RePEc:bla:irvfin:v:9:y:2009:i:4:p:335-357.

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350. International Stock Return Predictability Under Model Uncertainty. (2008). Schrimpf, Andreas.
     In: ZEW Discussion Papers.
     RePEc:zbw:zewdip:7358.

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351. Viewpoint: Estimating the equity premium. (2008). Campbell, John.
     In: Canadian Journal of Economics/Revue canadienne d'économique.
     RePEc:wly:canjec:v:41:y:2008:i:1:p:1-21.

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352. Asset Pricing with Adaptive Learning. (2008). Giannitsarou, Chryssi ; Carceles-Poveda, Eva.
     In: Review of Economic Dynamics.
     RePEc:red:issued:06-119.

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353. The Myth of Long-Horizon Predictability. (2008). Whitelaw, Robert F..
     In: Review of Financial Studies.
     RePEc:oup:rfinst:v:21:y:2008:i:4:p:1577-1605.

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354. Efficient Prediction of Excess Returns. (2008). Wright, Jonathan ; Faust, Jon.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:14169.

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355. Can Exchange Rates Forecast Commodity Prices?. (2008). Rossi, Barbara ; Rogoff, Kenneth ; Chen, Yu-chin.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:13901.

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356. Rare Disasters and Exchange Rates. (2008). Gabaix, Xavier ; Farhi, Emmanuel.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:13805.

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357. Predictive Systems: Living with Imperfect Predictors. (2008). Stambaugh, Robert ; Pastor, Lubos.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:13804.

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358. Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?. (2008). Campbell, John ; Thompson, Samuel P..
     In: Scholarly Articles.
     RePEc:hrv:faseco:2622619.

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359. Investor sentiment and stock returns: Some international evidence. (2008). Schmeling, Maik.
     In: Hannover Economic Papers (HEP).
     RePEc:han:dpaper:dp-407.

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360. Predicting global stock returns. (2008). Hjalmarsson, Erik.
     In: International Finance Discussion Papers.
     RePEc:fip:fedgif:933.

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361. Jackknifing stock return predictions. (2008). Hjalmarsson, Erik ; Chiquoine, Benjamin .
     In: International Finance Discussion Papers.
     RePEc:fip:fedgif:932.

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362. Interpreting long-horizon estimates in predictive regressions. (2008). Hjalmarsson, Erik.
     In: International Finance Discussion Papers.
     RePEc:fip:fedgif:928.

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363. Inference in Long-Horizon Regressions. (2008). Hjalmarsson, Erik.
     In: International Finance Discussion Papers.
     RePEc:fip:fedgif:853.

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364. Striking oil: Another puzzle?. (2008). Jacobsen, Ben ; Driesprong, Gerben ; Maat, Benjamin.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:89:y:2008:i:2:p:307-327.

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365. Does firm value move too much to be justified by subsequent changes in cash flow. (2008). Yogo, Motohiro ; Larrain, Borja.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:87:y:2008:i:1:p:200-226.

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366. Interpreting long-horizon estimates in predictive regressions. (2008). Hjalmarsson, Erik.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:5:y:2008:i:2:p:104-117.

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367. The Stambaugh bias in panel predictive regressions. (2008). Hjalmarsson, Erik.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:5:y:2008:i:1:p:47-58.

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368. Idiosyncratic volatility and equity returns: UK evidence. (2008). Angelidis, Timotheos ; Tessaromatis, Nikolaos.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:17:y:2008:i:3:p:539-556.

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369. Long-run risk-return trade-offs. (2008). Perron, Benoit ; Bandi, Federico M..
     In: Journal of Econometrics.
     RePEc:eee:econom:v:143:y:2008:i:2:p:349-374.

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370. Strategic asset allocation with liabilities: Beyond stocks and bonds. (2008). Hoevenaars, Roy ; Molenaar, Roderick D. J., ; Steenkamp, Tom B. M., ; Schotman, Peter C..
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:32:y:2008:i:9:p:2939-2970.

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371. CAN EXCHANGE RATES FORECAST COMMODITY PRICES?. (2008). Rossi, Barbara ; Rogoff, Kenneth ; Chen, Yu-chin.
     In: Working Papers.
     RePEc:duk:dukeec:08-03.

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372. Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression. (2008). Simin, Timothy ; Sarkissian, Sergei ; Ferson, Wayne E..
     In: Journal of Financial and Quantitative Analysis.
     RePEc:cup:jfinqa:v:43:y:2008:i:02:p:331-353_00.

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373. Modelling and Measuring Price Discovery in Commodity Markets. (2008). Gonzalo, Jesus ; Figuerola-Ferretti, Isabel .
     In: DEE - Working Papers. Business Economics. WB.
     RePEc:cte:wbrepe:15951.

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374. Miller and Modigliani, Predictive Return Regressions and Cointegration. (2008). wright, stephen ; Robertson, Donald ; Alessandri, Piergiorgio.
     In: Oxford Bulletin of Economics and Statistics.
     RePEc:bla:obuest:v:70:y:2008:i:2:p:181-207.

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375. Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo.
     In: CREATES Research Papers.
     RePEc:aah:create:2008-48.

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376. Saving and investing over the life cycle and the role of collective pension funds. (2007). Teulings, C. N. ; Bovenberg, A. L. ; Nijman, T. E. ; Koijen, R. S. J., .
     In: Other publications TiSEM.
     RePEc:tiu:tiutis:6eab1341-eda5-4f21-8c06-8a235fd1d905.

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377. Covariance-based orthogonality tests for regressors with unknown persistence. (2007). Shimotsu, Katsumi ; Maynard, Alex.
     In: Working Papers.
     RePEc:qed:wpaper:1122.

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378. Estimating the Equity Premium. (2007). Campbell, John.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:13423.

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379. Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?. (2007). Yogo, Motohiro ; Larrain, Borja.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:12847.

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380. Risk, Return and Dividends. (2007). LIU, JUN ; Ang, Andrew.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:12843.

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381. Predictive Systems: Living with Imperfect Predictors. (2007). Stambaugh, Robert ; Pastor, Lubos.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:12814.

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382. Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated. (2007). Österholm, Pär ; Hjalmarsson, Erik ; Osterholm, Par.
     In: IMF Working Papers.
     RePEc:imf:imfwpa:2007/141.

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383. Testing for cointegration using the Johansen methodology when variables are near-integrated. (2007). Österholm, Pär ; Hjalmarsson, Erik ; Osterholm, Par.
     In: International Finance Discussion Papers.
     RePEc:fip:fedgif:915.

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384. The Stambaugh bias in panel predictive regressions. (2007). Hjalmarsson, Erik.
     In: International Finance Discussion Papers.
     RePEc:fip:fedgif:914.

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385. A residual-based cointegration test for near unit root variables. (2007). Österholm, Pär ; Hjalmarsson, Erik ; Osterholm, Par.
     In: International Finance Discussion Papers.
     RePEc:fip:fedgif:907.

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386. Risk, return, and dividends. (2007). LIU, JUN ; Ang, Andrew.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:85:y:2007:i:1:p:1-38.

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387. Stock returns, dividend yield, and book-to-market ratio. (2007). Lee, Bong-Soo ; Jiang, Xiaoquan .
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:31:y:2007:i:2:p:455-475.

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388. Putting the dividend-price ratio under the microscope. (2007). Nagayasu, Jun.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:4:y:2007:i:3:p:186-195.

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389. Fully modified estimation with nearly integrated regressors. (2007). Hjalmarsson, Erik.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:4:y:2007:i:2:p:92-94.

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390. Angelica Gonzalez. (2007). Gonzalez, Angelica .
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391. Expectations hypotheses tests at Long Horizons. (2007). Rossi, Barbara.
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392. Asset Pricing with Adaptive Learning. (2007). Giannitsarou, Chryssi ; Carceles-Poveda, Eva.
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393. Predictive Systems: Living with Imperfect Predictors. (2007). Stambaugh, Robert ; Pastor, Lubos.
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394. Modeling Financial Return Dynamics by Decomposition. (2007). Gospodinov, Nikolay ; Anatolyev, Stanislav.
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395. Modeling Financial Return Dynamics by Decomposition. (2007). Gospodinov, Nikolay ; Anatolyev, Stanislav.
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396. Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim.
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397. A Comprehensive Look at the Empirical Performance of Equity Premium Prediction. (2006). welch, ivo ; Goyal, Amit.
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398. Predictability in Financial Markets: What Do Survey Expectations Tell Us?. (2006). van Wincoop, Eric ; Mertens, Elmar ; Bacchetta, Philippe.
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399. Testing Models of Low-Frequency Variability. (2006). Watson, Mark ; Mueller, Ulrich .
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400. The Performance of International Equity Portfolios. (2006). Wongswan, Jon ; Warnock, Francis ; Thomas, Charles ; CharlesP. Thomas, .
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401. Stock and Bond Returns with Moody Investors. (2006). Engstrom, Eric ; Bekaert, Geert ; Grenadier, Steven R..
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402. Optimal Decentralized Investment Management. (2006). van Binsbergen, Jules ; koijen, ralph ; Ralph S. J. Koijen, ; Brandt, Michael W..
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403. The Dog That Did Not Bark: A Defense of Return Predictability. (2006). Cochrane, John.
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404. Optimal Value and Growth Tilts in Long-Horizon Portfolios. (2006). Viceira, Luis ; Jurek, Jakub W..
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405. The Performance of International Equity Portfolios. (2006). Thomas, Charles ; CharlesP. Thomas, .
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406. Efficient tests of stock return predictability. (2006). Yogo, Motohiro ; Campbell, John.
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407. Predictive regressions with panel data. (2006). Hjalmarsson, Erik.
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408. Should we expect significant out-of-sample results when predicting stock returns?. (2006). Hjalmarsson, Erik.
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409. Expected stock returns and variance risk premia. (2006). Zhou, Hao ; Bollerslev, Tim.
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410. Incomplete information processing: a solution to the forward discount puzzle. (2006). van Wincoop, Eric ; Bacchetta, Philippe.
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411. Output and expected returns. (2006). Rangvid, Jesper .
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412. Cross-sectional forecasts of the equity premium. (2006). Polk, Christopher ; Vuolteenaho, Tuomo ; Thompson, Samuel.
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413. Optimal Inference in Regression Models with Nearly Integrated Regressors. (2006). Moreira, Marcelo ; Jansson, Michael.
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414. Stock and Bond Returns with Moody Investors. (2006). Engstrom, Eric ; Bekaert, Geert ; Grenadier, Steve.
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415. Optimal Value and Growth Tilts in Long-Horizon Portfolios. (2006). Viceira, Luis ; Jurek, Jakub W.
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416. Predictability in Financial Markets: What Do Survey Expectations Tell Us?. (2006). van Wincoop, Eric ; Mertens, Elmar ; Bacchetta, Philippe.
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417. The information content of the Bond-Equity Yield Ratio: better than a random walk?. (2006). PETITJEAN, Mikael ; Giot, Pierre.
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418. International stock return predictability: statistical evidence and economic significance. (2006). PETITJEAN, Mikael ; Giot, Pierre.
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419. A Habit-Based Explanation of the Exchange Rate Risk Premium. (2006). Verdelhan, Adrien.
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420. Returns to equity, investment and Q: evidence from the United Kingdom. (2006). Schleicher, Christoph ; Price, Simon.
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421. Incomplete Information Processing: A Solution to the Forward Discount Puzzle. (2005). van Wincoop, Eric ; Bacchetta, Philippe.
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422. Rational Inattention: A Solution to the Forward Discount Puzzle. (2005). van Wincoop, Eric ; Bacchetta, Philippe.
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423. Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?. (2005). Campbell, John ; Thompson, Samuel B..
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424. Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns. (2005). Polk, Christopher ; Campbell, John ; Vuolteenaho, Tuomo .
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425. The Term Structure of the Risk-Return Tradeoff. (2005). Viceira, Luis ; Campbell, John.
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426. On the Predictability of Global Stock Returns. (2005). Hjalmarsson, Erik.
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427. Predictive regressions with panel data. (2005). Hjalmarsson, Erik.
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428. Estimation of average local-to-unity roots in heterogenous panels. (2005). Hjalmarsson, Erik.
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429. Rational Inattention: A Solution to the Forward Discount Puzzle. (2005). van Wincoop, Eric ; Bacchetta, Philippe.
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430. The Term Structure of the Risk-Return Tradeoff. (2005). Viceira, Luis ; Campbell, John.
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431. Risk, Return and Dividends. (2005). LIU, JUN ; Ang, Andrew.
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432. Hypothesis Testing in Predictive Regressions. (2004). Hurvich, Clifford ; Amihud, Yakov ; Wang, YI.
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433. The Use of Predictive Regressions at Alternative Horizons in Finance and Economics. (2004). Sul, Donggyu ; Mark, Nelson.
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434. Bank Risk Strategies and Cyclical Variation in Bank Stock Returns. (2004). Vander Vennet, Rudi ; Baele, Lieven ; Landschoot, van A..
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435. Pseudo Market Timing and Predictive Regressions. (2004). Wurgler, Jeffrey ; Baker, Malcolm ; Taliaferro, Ryan.
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436. A Comprehensive Look at the Empirical Performance of Equity Premium Prediction. (2004). welch, ivo ; Goyal, Amit ; Goval, Amit.
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437. The Use of Predictive Regressions at Alternative Horizons in Finance and Economics. (2004). Sul, Donggyu ; Mark, Nelson.
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438. Bad Beta, Good Beta. (2004). Campbell, John ; Vuolteenaho, Tuomo .
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439. Predicting returns with financial ratios. (2004). Lewellen, Jonathan .
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440. Efficient Tests of Stock Return Predictability. (2003). Yogo, Motohiro ; Campbell, John.
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441. Robust Estimation and Inference for Threshold Models with Integrated Regressors. (2002). Chen, Haiqiang.
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2. Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions. (2010). zhu, ning ; Wang, Hansheng ; Tsai, Chih-Ling.
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7. The current account as a dynamic portfolio choice problem. (2009). Didier, Tatiana ; Lowenkron, Alexandre .
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8. An Empirical Evaluation of the Long-Run Risks Model for Asset Prices. (2009). Yaron, Amir ; Bansal, Ravi ; Kiku, Dana .
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9. The Term Structures of Equity and Interest Rates. (2009). Wachter, Jessica ; Lettau, Martin.
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12. Retrospective Capital Gains Taxation in the Real World. (2009). Panteghini, Paolo ; Menoncin, Francesco.
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15. Inference in Long-Horizon Regressions. (2008). Hjalmarsson, Erik.
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16. Rational Pessimism, Rational Exuberance, and Asset Pricing Models. (2007). Tauchen, George ; Gallant, A. ; Bansal, Ravi.
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18. Stock and Bond Returns with Moody Investors. (2006). Engstrom, Eric ; Bekaert, Geert ; Grenadier, Steven R..
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19. Optimal Decentralized Investment Management. (2006). van Binsbergen, Jules ; koijen, ralph ; Ralph S. J. Koijen, ; Brandt, Michael W..
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21. The Performance of International Equity Portfolios. (2006). Thomas, Charles ; CharlesP. Thomas, .
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23. Predictive regressions with panel data. (2006). Hjalmarsson, Erik.
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28. Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns. (2005). Polk, Christopher ; Campbell, John ; Vuolteenaho, Tuomo .
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29. On the Predictability of Global Stock Returns. (2005). Hjalmarsson, Erik.
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31. Bank Risk Strategies and Cyclical Variation in Bank Stock Returns. (2004). Vander Vennet, Rudi ; Baele, Lieven ; Landschoot, van A..
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34. Growth Volatility and Financial Liberalization. (2004). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
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35. Conditional Betas. (2004). Veronesi, Pietro ; Santos, Tano.
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36. New Forecasts of the Equity Premium. (2004). Polk, Christopher ; Thompson, Samuel ; Vuolteenaho, Tuomo .
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37. UK investment and the return to equity: Q redux. (2004). Price, Simon.
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38. Do Demographic Changes Affect Risk Premiums? Evidence from International Data. (2003). Maddaloni, Angela ; Ang, Andrew.
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39. A Catering Theory of Dividends. (2003). Wurgler, Jeffrey ; Baker, Malcolm.
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40. Bad Beta, Good Beta. (2003). Campbell, John ; Vuolteenaho, Tuomo .
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41. How to Discount Cashflows with Time-Varying Expected Returns. (2003). LIU, JUN ; Ang, Andrew.
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42. Efficient Tests of Stock Return Predictability. (2003). Yogo, Motohiro ; Campbell, John.
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43. On the out-of-sample predictability of stock market returns. (2003). Guo, Hui.
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44. What does the yield curve tell us about GDP growth?. (2003). Wei, Min ; Piazzesi, Monika ; Ang, Andrew.
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45. Model Uncertainty, Thick Modelling and the Predictability of Stock Returns. (2003). Favero, Carlo ; Aiolfi, Marco .
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46. Housing Collateral, Consumption Insurance and Risk Premia. (2002). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
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47. Interpretable Asset Markets?. (2002). Yaron, Amir ; Bansal, Ravi ; Khatachtrian, Varoujan.
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48. On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach. (2002). Brandt, Michael W. ; Kang, Qiang .
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49. Market Liquidity as a Sentiment Indicator. (2002). Stein, Jeremy ; Baker, Malcolm.
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50. An Evaluation of International Asset Pricing Models. (2002). Dahlquist, Magnus ; Sallstrom, Torbjorn.
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