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Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset-Allocation Perspective
16 references·16 citing·46 second hopsampled
Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset-Allocation Perspective (2010)Out-of-Sample Predictions of Bond Excess …Information in (and not in) the Term Structure (2011)Information in (and not in) t…Macro Factors in Bond Risk Premia (2009)Macro Factors in Bond Risk Pr…Were There Regime Switches in U.S. Monetary Policy? (2006)Were There Regime Switches in…The Myth of Long-Horizon Predictability (2005)The Myth of Long-Horizon Pred…In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2005)In-Sample or Out-of-Sample Te…The economic value of volatility timing using “realized” volatility (2003)The economic value of volatil…Long-horizon regressions: theoretical results and applications (2003)Long-horizon regressions: the…The Economic Value of Volatility Timing (2001)The Economic Value of Volatil…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…A test for constant correlations in a multivariate GARCH model (2000)A test for constant correlati…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…The information in the term structure (1984)The information in the term s…Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Forward Rates and Future Poli…Portfolio Performance Manipulation and Manipulation-proof Performance MeasuresPortfolio Performance Manipul…Multivariate GARCH models: a surveyMultivariate GARCH models: a …How persistent are unconventional monetary policy effects? (2022)How persistent are unconventi…Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection (2020)Comparing high-dimensional co…Harmful diversification: Evidence from alternative investments (2018)Harmful diversification: Evid…Bond Risk Premia with Machine Learning (2018)Bond Risk Premia with Machine…The Role of Technical Indicators in Exchange Rate Forecasting (2017)The Role of Technical Indicat…Expected Business Conditions and Bond Risk Premia (2017)Expected Business Conditions …The predictive performance of commodity futures risk factors (2016)The predictive performance of…The Historical and Current Concepts of “Plain” Interest Rates, Forward Rates and Discount Rates Are or Can Be Misleading (2016)The Historical and Current Co…Political risk and expected government bond returns (2016)Political risk and expected g…Can currency-based risk factors help forecast exchange rates? (2015)Can currency-based risk facto…Predictions of corporate bond excess returns (2014)Predictions of corporate bond…Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk? (2014)Predicting Exchange Rates Out…Out-of-sample bond risk premium predictions: A global common factor (2014)Out-of-sample bond risk premi…How Persistent Are Unconventional Monetary Policy Effects? (2014)How Persistent Are Unconventi…Performance hypothesis testing with the Sharpe ratio: The case of hedge funds (2013)Performance hypothesis testin…Forecasting Government Bond Risk Premia Using Technical Indicators (2011)Forecasting Government Bond R…Trends and random walks in macroeconomic time series (1988)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Emerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)A multivariate model of strategic asset allocation (2002)Financial Markets and the Real Economy (2005)Short- Term Interest Rates as Predictors of Inflation (2021)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Determining the Number of Factors in Approximate Factor Models (2002)Common Risk Factors in Currency Markets (2011)Pricing the term structure with linear regressions (2013)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)Business conditions and expected returns on stocks and bonds (1989)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)The Dog That Did Not Bark: A Defense of Return Predictability (2007)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2010)Macroeconomic Shocks and Their Propagation (2016)Empirical exchange rate models of the seventies (1983)Dividend yields and expected stock returns (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)What do we learn from the price of crude oil futures? (2010)International Stock Return Predictability: What Is the Role of the United States? (2013)Manager sentiment and stock returns (2018)Risk, Return, and Equilibrium: Empirical Tests (1973)Modeling and Forecasting Realized Volatility (2001)On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)Time Series Analysis: Forecasting and Control (1977)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Separating microstructure noise from volatility (2005)Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Volatility‐Managed Portfolios (2017)
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References

  • 1994Threshold heteroskedastic models2,294 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 2006Were There Regime Switches in U.S. Monetary Policy?1,607 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 2009Macro Factors in Bond Risk Premia1,043 cited
  • 2001The Economic Value of Volatility Timing848 cited
  • 2005In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?756 cited
  • 2003The economic value of volatility timing using “realized” volatility668 cited
  • 1984The information in the term structure659 cited
  • n.d.Portfolio Performance Manipulation and Manipulation-proof Performance Measures644 cited
  • 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates562 cited
  • 2003Long-horizon regressions: theoretical results and applications523 cited
  • 2005The Myth of Long-Horizon Predictability477 cited
  • 2000A test for constant correlations in a multivariate GARCH model441 cited
  • 2011Information in (and not in) the Term Structure

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Cited by

  • 2014Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?94 cited
  • 2018Harmful diversification: Evidence from alternative investments65 cited
  • 2016Political risk and expected government bond returns43 cited
  • 2017The Role of Technical Indicators in Exchange Rate Forecasting42 cited
  • 2014Predictions of corporate bond excess returns39 cited
  • 2013Performance hypothesis testing with the Sharpe ratio: The case of hedge funds38 cited
  • 2011Forecasting Government Bond Risk Premia Using Technical Indicators38 cited
  • 2017Expected Business Conditions and Bond Risk Premia33 cited
  • 2018Bond Risk Premia with Machine Learning31 cited
  • 2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection27 cited
  • 2015Can currency-based risk factors help forecast exchange rates?26 cited
  • 2016The Historical and Current Concepts of “Plain” Interest Rates, Forward Rates and Discount Rates Are or Can Be Misleading24 cited
  • 2014Out-of-sample bond risk premium predictions: A global common factor24 cited
  • 2016The predictive performance of commodity futures risk factors23 cited
  • 2022How persistent are unconventional monetary policy effects?19 cited
  • 2014How Persistent Are Unconventional Monetary Policy Effects?17 cited