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2006, 1st ed., Handbooks in economics, ISBN 0444513957, Volume 24, v.
Book
Handbook of Economic Forecasting, ISSN 1574-0706, 2006, Volume 1, pp. 135 - 196
Forecast combinations have frequently been found in empirical studies to produce better forecasts on average than methods based on the ex ante best individual... 
forecast combinations | shrinkage methods | diversification gains | pooling and trimming | model misspecification
Conference Proceeding
Econometric Theory, ISSN 0266-4666, 08/2019, Volume 35, Issue 4, pp. 685 - 728
An interview is presented with Hashem Pesaran, a prominent contributor to the theoretical econometrics literature. 
STATISTICS & PROBABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | ECONOMICS | Economic theory | Econometrics | University professors
Journal Article
The Review of Economic Studies, ISSN 0034-6527, 10/2005, Volume 72, Issue 4, pp. 1107 - 1125
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 3/2008, Volume 21, Issue 2, pp. 889 - 935
This paper investigates the international asset allocation effects of time-variations in higherorder moments of stock returns such as skewness and kurtosis. In... 
Market portfolios | Investment risk | Investors | Asset allocation | Covariance | Equity | Kurtosis | Mathematical moments | Financial portfolios | Skewed distribution | LIFETIME PORTFOLIO SELECTION | BUSINESS, FINANCE | EXPECTED RETURNS | DIVERSIFICATION | HOME BIAS | DYNAMICS | RISK | ECONOMICS | MODEL | CONSUMPTION | STOCK | MOMENTS | Studies | Return on investment | Stocks | International finance
Journal Article
International Journal of Forecasting, ISSN 0169-2070, 01/2008, Volume 24, Issue 1, pp. 1 - 18
Journal Article
The Journal of Finance, ISSN 0022-1082, 12/2006, Volume 61, Issue 6, pp. 2551 - 2595
We apply a new bootstrap statistical technique to examine the performance of the U.S. open-end, domestic equity mutual fund industry over the 1975 to 2002... 
Investment funds | Mutual funds | Growth funds | Investment strategies | Time series | P values | Inference | Parametric models | T tests | Financial investments | SURVIVORSHIP | BUSINESS, FINANCE | MARKET | PERFORMANCE | PERSISTENCE | RETURNS | SELECTION
Journal Article
Annual Review of Financial Economics, ISSN 1941-1367, 11/2018, Volume 10, Issue 1, pp. 449 - 479
Journal Article
Journal of Economic Literature, ISSN 0022-0515, 03/2008, Volume 46, Issue 1, pp. 3 - 56
Journal Article
The American Economic Review, ISSN 0002-8282, 9/2016, Volume 106, Issue 9, pp. 2625 - 2657
We study daily money market mutual fund flows at the individual share class level during September 2008. This fine granularity of data allows new insights into... 
DYNAMIC DEBT RUNS | BANK RUNS | PANICS | ATTACKS | LIQUIDITY | GLOBAL GAMES | INFORMATION | CRISIS | ECONOMICS | MODEL | MULTIPLE EQUILIBRIA | Money market | Mutual funds | Analysis | Studies | Money market mutual funds | Bank failures | Economic theory
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 5/2015, Volume 28, Issue 5, pp. 1428 - 1461
We propose a new method for constructing the hedge component in Merton's ICAPM that uses a daily summary measure of economic activity to track time-varying... 
TESTS | BUSINESS, FINANCE | MARKET RISK | TRADE-OFF | TERM STRUCTURE | EXPECTED STOCK RETURNS | INTERTEMPORAL RELATION | TIME | ECONOMICS | VOLATILITY | ASSET RETURNS | CONSUMPTION
Journal Article
Journal of Money, Credit and Banking, ISSN 0022-2879, 3/2009, Volume 41, Issue 2/3, pp. 365 - 396
Journal Article
Journal of the American Statistical Association, ISSN 0162-1459, 03/2009, Volume 104, Issue 485, pp. 325 - 337
Journal Article
Econometrica, ISSN 0012-9682, 11/2015, Volume 83, Issue 6, p. 2485
  We demonstrate the asymptotic equivalence between commonly used test statistics for out-of-sample forecasting performance and conventional Wald statistics.... 
Studies | Economic theory | Economic forecasting | Random variables
Journal Article
Econometrica, ISSN 0012-9682, 11/2015, Volume 83, Issue 6, pp. 2485 - 2485
We demonstrate the asymptotic equivalence between commonly used test statistics for out-of-sample forecasting performance and conventional Wald statistics.... 
Journal Article
Annual Review of Financial Economics, ISSN 1941-1367, 10/2012, Volume 4, Issue 1, pp. 313 - 337
Journal Article
Journal of Empirical Finance, ISSN 0927-5398, 2006, Volume 13, Issue 3, pp. 274 - 315
This study examines evidence of instability in models of ex post predictable components in stock returns related to structural breaks in the coefficients of... 
Structural breaks | Predictability of stock returns | Model instability | International stock markets | Models | Universities and colleges | Analysis | Foreign securities | Interest rates
Journal Article