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Reality Checks and Comparisons of Nested Predictive Models
16 references·16 citing·31 second hopsampled
Reality Checks and Comparisons of Nested Predictive Models (2011)Reality Checks and Comparisons of Nested …A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…Predictive regressions (1999)Predictive regressionsForecasting inflation (1999)Forecasting inflationTests for Forecast Encompassing (1998)Tests for Forecast Encompassi…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyData-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Data-Snooping Biases in Tests…Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period (1988)Was It Real? The Exchange Rat…Predicting bond return predictability (2024)Predicting bond return predic…Predicting relative forecasting performance: An empirical investigation (2019)Predicting relative forecasti…Multi-Horizon Forecast Comparison (2019)Multi-Horizon Forecast Compar…Forecasting U.S. money growth using economic uncertainty measures and regularisation techniques (2018)Forecasting U.S. money growth…Forecasting the exchange rate using nonlinear Taylor rule based models (2018)Forecasting the exchange rate…Common Macro Factors and Currency Premia (2017)Common Macro Factors and Curr…The predictive performance of commodity futures risk factors (2016)The predictive performance of…Shipping investor sentiment and international stock return predictability (2016)Shipping investor sentiment a…Out-of-sample equity premium predictability and sample split–invariant inference (2016)Out-of-sample equity premium …International stock return predictability: Evidence from new statistical tests (2016)International stock return pr…Belgian economic policy uncertainty index: Improvement through text mining (2016)Belgian economic policy uncer…Can currency-based risk factors help forecast exchange rates? (2015)Can currency-based risk facto…Nested forecast model comparisons: A new approach to testing equal accuracy (2014)Nested forecast model compari…Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach (2012)Credit Spreads as Predictors …Forecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Forecasting the Equity Risk P…Advances in Forecast Evaluation (2011)Advances in Forecast Evaluati…Testing the equality of prediction mean squared errors (1997)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting: theory and practice (2022)Risk, Return, and Equilibrium: Empirical Tests (1973)Macroeconomic Forecasting Using Diffusion Indexes (2002)Large Bayesian vector auto regressions (2009)Volatility forecast comparison using imperfect volatility proxies (2010)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)Interpreting the macroeconomic time series facts (1992)Efficient Tests for an Autoregressive Unit Root (1996)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Determining the Number of Factors in Approximate Factor Models (2002)Inferential Theory for Factor Models of Large Dimensions (2003)Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Dividend yields and expected stock returns (1988)Expected Stock Returns and Variance Risk Premia (2009)The short of it: Investor sentiment and anomalies (2011)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1999Predictive regressions1,614 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 1999Forecasting inflation1,273 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models1,121 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices1,076 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices864 cited
  • 1988Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period825 cited
  • 1998

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Tests for Forecast Encompassing
786 cited

Cited by

  • 2016Belgian economic policy uncertainty index: Improvement through text mining72 cited
  • 2019Multi-Horizon Forecast Comparison68 cited
  • 2014Nested forecast model comparisons: A new approach to testing equal accuracy66 cited
  • 2011Advances in Forecast Evaluation55 cited
  • 2016Shipping investor sentiment and international stock return predictability51 cited
  • 2019Predicting relative forecasting performance: An empirical investigation35 cited
  • 2016International stock return predictability: Evidence from new statistical tests32 cited
  • 2017Common Macro Factors and Currency Premia30 cited
  • 2011Forecasting the Equity Risk Premium: The Role of Technical Indicators29 cited
  • 2015Can currency-based risk factors help forecast exchange rates?26 cited
  • 2016Out-of-sample equity premium predictability and sample split–invariant inference25 cited
  • 2012Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach24 cited
  • 2016The predictive performance of commodity futures risk factors23 cited
  • 2018Forecasting U.S. money growth using economic uncertainty measures and regularisation techniques22 cited
  • 2024Predicting bond return predictability22 cited
  • 2018Forecasting the exchange rate using nonlinear Taylor rule based models21 cited