Predictability of stock returns and asset allocation under structural breaks
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Publication:737993
DOI10.1016/j.jeconom.2011.02.019zbMath1441.62839OpenAlexW2037002257MaRDI QIDQ737993
Davide Pettenuzzo, Allan G. Timmermann
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.02.019
Related Items (13)
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns ⋮ On the Long-Run Volatility of Stocks ⋮ Optimal asset allocation with multivariate Bayesian dynamic linear models ⋮ Penetrating sporadic return predictability ⋮ Structural Breaks in Grouped Heterogeneity ⋮ Perpetual learning and stock return predictability ⋮ Powerful tests for structural changes in volatility ⋮ Complete subset regressions ⋮ Does modeling a structural break improve forecast accuracy? ⋮ Change points in heavy‐tailed multivariate time series: Methods using precision matrices ⋮ Monotonic effects of characteristics on returns ⋮ Testing for episodic predictability in stock returns ⋮ Corrigendum to ``Predictability of stock returns and asset allocation under structural breaks
Uses Software
Cites Work
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