create a website

Predicting Stock Market Returns by Combining Forecasts. (2008). Yu, Ip-wing ; Fung, Laurence .
In: Working Papers.
RePEc:hkg:wpaper:0801.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 28

References cited by this document

Cocites: 45

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Aiolfi, M. and C. A. Favero (2005): Model Uncertainty, Thick Modelling and the Predictability of Stock Returns, Journal of Forecasting 24(4), 233-254.

  2. Akaike, H. (1974): A New Look at the Statistical Model Identification, IEEE Transactions on Automatic Control 19(6), 716-723.
    Paper not yet in RePEc: Add citation now
  3. Baker, M and J. Wurgler (2000): The Equity Share in New Issues and Aggregate Stock Returns, Journal of Finance 55, 2219-2257.

  4. Bates, J. and C. Granger (1969): The Combination of Forecasts, Operational Research Quarterly 20(4), 45 1-468.
    Paper not yet in RePEc: Add citation now
  5. Bossaerts, P. and P. Hillion (1999): Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?, Review of Financial Studies 12(2), 405-428.

  6. Campbell, J. Y. and R. J. Shiller (1988a): The Dividend-price Ratio and Expectations of Future Dividends and discount Factors, Review of Financial Studies 1, 195-228.
    Paper not yet in RePEc: Add citation now
  7. Cremers, K. J. M. (2002): Stock Return Predictability: A Bayesian Model Selection Perspective, Review of Financial Studies 15(4), 1223-1249.

  8. Diebold, F. X. and R. S. Mariano (1995): Comparing Predictive Accuracy, Journal of Business and Economic Statistics 13(3), 253-265.

  9. Dividends, Journal of Finance 43, 661-676. Campbell, J. Y. and S. B. Thompson (2006): Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?, forthcoming Review of Financial Studies.
    Paper not yet in RePEc: Add citation now
  10. Fama, E. F. and K. R. French (1988): Dividend Yields and Expected Stock Returns, Journal of Financial Economics 22, 3-25.

  11. Goyal, A. and I. Welch (2006): A Comprehensive Look at the Empirical Performance of Equity Premium Prediction, forthcoming Review of Financial Studies.

  12. Guo, H. (2006): On the Out-of-Sample Predictability of Stock Market Returns, Journal of Business 79(2), 645-670.

  13. Hagmann, M. and J. Loebb (2006): Model Combination and Stock Return Predictability, Swiss Finance Institute Research Paper Series 06-5.

  14. Hendry, D. F. and M. P. Clements (2004): Pooling of Forecasts, Econometrics Journal 7(1), 1-31.

  15. Hibon, M. and T. Evgeniou (2005): To Combine or Not to Combine: Selecting Among Forecasts and Their Combinations, International Journal of Forecasting 21(1), 15-24.

  16. Hjalmarsson, E. (2006): Should We Expect Significant Out-of-Sample Results when Predicting Stock Returns?, Board of Governors of the Federal Reserve System International Finance Discussion Papers 855.

  17. Inoue, A. and L. Kilian (2004): In-sample or Out-sample Tests of Predictability: Which One Should We Use?, Econometric Reviews 23, 37 1-402.

  18. Lamont, 0. (1998): Earnings and Expected Returns, Journal of Finance 53, 1563- 1587.

  19. Lettau, M. and S. Ludvigson (2001): Consumption, Aggregate Wealth, and Expected Stock Returns, Journal of Finance 56, 8 15-849.

  20. Nelson, C. and M. Kim (1993): Predictable Stock Returns: The Role of Small Sample Bias, Journal of Finance 48, 641-66 1.

  21. Newey, W. and K. West (1987): A Simple, Positive Semi-Definite, Heteroskedasticity and Autoconelation Consistent Covariance Matrix, Econometrica 55, 703-708.

  22. Pesaran, M. H. and A. Timmermann (1992): A Simple Nonparametric Test of Predictive Performance, Journal of Business and Economic Statistics 10(4), 461-465.

  23. Robustness and Economic Significance, Journal of Finance 50(4), 1201-1228. (2000): A Recursive Modelling Approach to Predicting UK Stock Return, The Economic Journal 110(460), 159-19 1.
    Paper not yet in RePEc: Add citation now
  24. Schwarz, G. (1978): Estimating the Dimension of a Model, The Annals of Statistics 6(2), 46 1-464.
    Paper not yet in RePEc: Add citation now
  25. Seven-Country Data Set, Journal of Forecasting 23, 405-430. - 30 - Theil, H. (1961), Economic Forecasts and Policy, 2nd Edition, Amsterdam: (NorthHolland) .
    Paper not yet in RePEc: Add citation now
  26. Stambaugh, R. F. (1999): Predictive Regressions, Journal of Financial Economics 54, 375-421.

  27. Stock, J. H. and M. Watson (2003): Forecasting Output and Inflation: The Role of Asset Prices, Journal of Economic Literature 41, 788-829.

  28. Yang, Y. (2004): Combining Forecasting Procedures: Some Theoretical Results, Econometric Theory 20(1), 176-222.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Optimal and robust combination of forecasts via constrained optimization and shrinkage. (2022). Vrins, Frederic ; Gambetti, Paolo ; Roccazzella, Francesco.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:38:y:2022:i:1:p:97-116.

    Full description at Econpapers || Download paper

  2. Corn Cash Price Forecasting. (2020). Xu, Xiaojie.
    In: American Journal of Agricultural Economics.
    RePEc:wly:ajagec:v:102:y:2020:i:4:p:1297-1320.

    Full description at Econpapers || Download paper

  3. Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel.
    In: CREATES Research Papers.
    RePEc:aah:create:2020-09.

    Full description at Econpapers || Download paper

  4. Disaggregate income and wealth effects in the largest euro area countries. (2019). Zekaite, Zivile ; de Bondt, Gabe ; Gieseck, Arne ; Herrero, Pablo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20192343.

    Full description at Econpapers || Download paper

  5. Improving Underlying Scenarios for Aggregate Forecasts: A Multi-level Combination Approach. (2018). Cobb, Marcus.
    In: MPRA Paper.
    RePEc:pra:mprapa:88593.

    Full description at Econpapers || Download paper

  6. Forecasting tax revenues in an emerging economy: The case of Albania. (2018). Sabaj, Ernil ; Kahveci, Mustafa .
    In: MPRA Paper.
    RePEc:pra:mprapa:84404.

    Full description at Econpapers || Download paper

  7. Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives. (2018). Shin, Minchul ; Diebold, Francis.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:18-014.

    Full description at Econpapers || Download paper

  8. Macro-financial linkages during tranquil and crisis periods: evidence from stressed economies. (2018). Papadopoulos, Georgios ; Rachaniotis, Nikolaos P ; Chionis, Dionysios.
    In: Risk Management.
    RePEc:pal:risman:v:20:y:2018:i:2:d:10.1057_s41283-017-0032-x.

    Full description at Econpapers || Download paper

  9. Forecasting oil price realized volatility using information channels from other asset classes. (2017). Filis, George ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:96276.

    Full description at Econpapers || Download paper

  10. Joint Forecast Combination of Macroeconomic Aggregates and Their Components. (2017). Cobb, Marcus.
    In: MPRA Paper.
    RePEc:pra:mprapa:76556.

    Full description at Econpapers || Download paper

  11. Model Confidence Sets and forecast combination. (2017). Samuels, Jon D ; Sekkel, Rodrigo M.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:1:p:48-60.

    Full description at Econpapers || Download paper

  12. Using dynamic model averaging in state space representation with dynamic Occam’s window and applications to the stock and gold market. (2017). Risse, Marian ; Ohl, Ludwig.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:44:y:2017:i:c:p:158-176.

    Full description at Econpapers || Download paper

  13. Fluctuations of the real exchange rate, real interest rates, and the dynamics of the price of gold in a small open economy. (2016). Risse, Marian ; Pierdzioch, Christian ; Rohloff, Sebastian.
    In: Empirical Economics.
    RePEc:spr:empeco:v:51:y:2016:i:4:d:10.1007_s00181-015-1053-5.

    Full description at Econpapers || Download paper

  14. Forecasting oil price realized volatility: A new approach. (2016). Filis, George ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:69105.

    Full description at Econpapers || Download paper

  15. Nonlinear forecasting with many predictors using kernel ridge regression. (2016). van Dijk, Dick ; Groenen, Patrick ; Exterkate, Peter ; Heij, Christiaan ; Patrick, .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:3:p:736-753.

    Full description at Econpapers || Download paper

  16. Credit risk stress testing for EU15 banks: a model combination approach. (2016). Papadopoulos, Savas ; Sager, Thomas .
    In: Working Papers.
    RePEc:bog:wpaper:203.

    Full description at Econpapers || Download paper

  17. Forecaster overconfidence and market survey performance. (2015). Schröder, Michael ; Lei, Jin ; Deaves, Richard ; Schroder, Michael .
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:15029.

    Full description at Econpapers || Download paper

  18. Forecaster overconfidence and market survey performance. (2015). Schröder, Michael ; Deaves, Richard ; Schroder, Michael ; Lei, Jin.
    In: Frankfurt School - Working Paper Series.
    RePEc:zbw:fsfmwp:218.

    Full description at Econpapers || Download paper

  19. Forecaster overconfidence and market survey performance. (2015). Schröder, Michael ; Deaves, Richard ; Schroeder, Michael ; Lei, Jin.
    In: FinMaP-Working Papers.
    RePEc:zbw:fmpwps:40.

    Full description at Econpapers || Download paper

  20. Forecasting implied volatility indices worldwide: A new approach. (2015). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein.
    In: MPRA Paper.
    RePEc:pra:mprapa:72084.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  22. 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.

    Full description at Econpapers || Download paper

  23. Fluctuations of the Real Exchange Rate, Real Interest Rates, and the Dynamics of the Price of Gold in a Small Open Economy. (2014). Risse, Marian ; Pierdzioch, Christian ; Rohloff, Sebastian .
    In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
    RePEc:zbw:vfsc14:100429.

    Full description at Econpapers || Download paper

  24. The international business cycle and gold-price fluctuations. (2014). Risse, Marian ; Pierdzioch, Christian ; Rohloff, Sebastian .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:54:y:2014:i:2:p:292-305.

    Full description at Econpapers || Download paper

  25. Optimal Portfolio Choice under Decision-Based Model Combinations. (2014). Ravazzolo, Francesco ; Pettenuzzo, Davide.
    In: Working Papers.
    RePEc:brd:wpaper:80.

    Full description at Econpapers || Download paper

  26. Forecasting Eurozone real-estate returns. (2013). Pierdzioch, Christian ; Hartmann, Daniel .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:23:y:2013:i:14:p:1185-1196.

    Full description at Econpapers || Download paper

  27. Complete subset regressions. (2013). Elliott, Graham ; Timmermann, Allan ; Gargano, Antonio .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:357-373.

    Full description at Econpapers || Download paper

  28. Complete subset regressions. (2013). Elliott, Graham ; Timmermann, Allan ; Gargano, Antonio.
    In: University of California at San Diego, Economics Working Paper Series.
    RePEc:cdl:ucsdec:qt1st3n7z7.

    Full description at Econpapers || Download paper

  29. Forecasting with Many Models: Model Confidence Sets and Forecast Combination. (2013). Samuels, Jon D. ; Sekkel, Rodrigo.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-11.

    Full description at Econpapers || Download paper

  30. Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression. (2013). van Dijk, Dick ; Groenen, Patrick ; Exterkate, Peter ; Patrick J. F. Groenen, ; Heij, Christiaan .
    In: CREATES Research Papers.
    RePEc:aah:create:2013-16.

    Full description at Econpapers || Download paper

  31. Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression. (2011). van Dijk, Dick ; Groenen, Patrick ; Exterkate, Peter ; Heij, Christiaan ; Patrick J. F. Groenen, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20110007.

    Full description at Econpapers || Download paper

  32. On the Economic Value of Return Predictability. (2010). Han, Yufeng.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2010:v:11:i:1:p:1-33.

    Full description at Econpapers || Download paper

  33. Predicting Stock Market Returns by Combining Forecasts. (2008). Yu, Ip-wing ; Fung, Laurence .
    In: Working Papers.
    RePEc:hkg:wpaper:0801.

    Full description at Econpapers || Download paper

  34. International equity flows and the predictability of US stock returns. (2007). Pierdzioch, Christian ; Hartmann, Daniel.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:26:y:2007:i:8:p:583-599.

    Full description at Econpapers || Download paper

  35. The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns. (2007). Guidolin, Massimo ; Na, Carrie Fangzhou.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-059.

    Full description at Econpapers || Download paper

  36. Forecasting Stock Price Changes: Is it Possible?. (2006). Sosvilla-Rivero, Simon ; Rodriguez, Pedro.
    In: Working Papers.
    RePEc:fda:fdaddt:2006-22.

    Full description at Econpapers || Download paper

  37. Persistence in forecasting performance and conditional combination strategies. (2006). Timmermann, Allan ; Aiolfi, Marco .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:135:y:2006:i:1-2:p:31-53.

    Full description at Econpapers || Download paper

  38. Stock and bond return predictability: the discrimination power of model selection criteria. (2006). Ronchetti, Elvezio ; Dell'Aquila, Rosario.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:50:y:2006:i:6:p:1478-1495.

    Full description at Econpapers || Download paper

  39. Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Pesaran, M ; d'Italia, Banca ; Zaffaroni, Paolo.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:101.

    Full description at Econpapers || Download paper

  40. Real Time Econometrics. (2004). Timmermann, Allan ; Pesaran, M.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp1108.

    Full description at Econpapers || Download paper

  41. Bagging Binary Predictors for Time Series. (2004). Lee, Tae Hwy ; Yang, Yang.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:512.

    Full description at Econpapers || Download paper

  42. Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Pesaran, M ; Zaffaroni, Paolo.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1358.

    Full description at Econpapers || Download paper

  43. Real Time Econometrics. (2004). Timmermann, Allan ; Pesaran, M.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1169.

    Full description at Econpapers || Download paper

  44. ‘Real Time Econometrics’. (2004). Timmermann, Allan ; Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0432.

    Full description at Econpapers || Download paper

  45. Scope for Cost Minimization in Public Debt Management: the Case of the UK. (2003). Vahey, Shaun ; Pesaran, M ; Coe, Patrick.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0338.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-24 09:05:56 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy