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

DOI10.1016/j.csda.2005.01.001zbMath1446.62265OpenAlexW2146775134MaRDI QIDQ959244

Elvezio Ronchetti, Rosario Dell'Aquila

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2005.01.001

zbMATH Keywords

bootstrapmodel selectionasset pricingforecastingBayesian model selectionfactor modelrisk modelstock return predictabilityAkaikeSchwarz

Mathematics Subject Classification ID

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

Related Items (6)

Nonparametric long term prediction of stock returns with generated bond yields ⋮ Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment ⋮ Correcting and combining time series forecasters ⋮ Copulas-based time series combined forecasters ⋮ On properties of predictors derived with a two-step bootstrap model averaging approach -- a simulation study in the linear regression model ⋮ Back propagation neural network based big data analytics for a stock market challenge

Uses Software

• bootstrap

Cites Work

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• Bagging predictors
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• Estimating the dimension of a model
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• Heuristics of instability and stabilization in model selection
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• The jackknife and the bootstrap for general stationary observations
• Pooling of forecasts
• The Stationary Bootstrap
• Bayesian Model Averaging for Linear Regression Models
• A Reality Check for Data Snooping
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Linear Model Selection by Cross-Validation
• Some Comments on C P
• A new look at the statistical model identification

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