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International Journal of Forecasting, ISSN 0169-2070, 01/2008, Volume 24, Issue 1, pp. 1 - 18
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 11/2017, Volume 84, pp. 188 - 201
For a comprehensive set of 21 equity premium predictors we find extreme variation in out-of-sample predictability results depending on the choice of the sample... 
Bootstrap | Equity premium predictability | Out-of-sample inference | Sample split choice | TESTS | FUNDAMENTALS | FORECAST EVALUATION | EXCHANGE-RATES | NESTED MODELS | PREDICTIVE REGRESSIONS | INVESTOR SENTIMENT | ACCURACY | STOCK RETURNS | BUSINESS, FINANCE | ASSET PRICING-MODELS | ECONOMICS | Data mining
Journal Article
Journal of International Economics, ISSN 0022-1996, 2009, Volume 77, Issue 2, pp. 167 - 180
An extensive literature that studied the performance of empirical exchange rate models following Meese and Rogoff's [Meese, R.A., Rogoff, K., 1983a. Empirical... 
Exchange rates | Taylor rules | Out-of-sample predictability | REAL-TIME DATA | TESTS | PUZZLE | PERSISTENCE | PREDICTIVE ABILITY | MONETARY-POLICY RULES | ACCURACY | PARITY | RATE MODELS | ECONOMICS | EXPECTATIONS | Out-of-sample predictability Exchange rates Taylor rules | Prices and rates | Money | Analysis | Foreign exchange
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 05/2019, Volume 102, pp. 43 - 58
We show that increases in oil prices, rather than changes in oil prices, can predict stock returns. The revealed stock return predictability is both... 
Oil price increases | Stock returns | Forecast combination | Portfolio | Out-of-sample predictability | MARKET | EXCHANGE-RATES | MONETARY-POLICY | RISK | SHOCKS | RESPONSES | BUSINESS, FINANCE | MACROECONOMY | COMBINATION FORECASTS | ECONOMICS | VOLATILITY
Journal Article
Finance Research Letters, ISSN 1544-6123, 03/2019, Volume 28, pp. 148 - 152
In this paper, we revisit the monetary model in growth rates in explaining exchange rates. Different with the literature, we consider the cross-sectional... 
Panel data | Exchange rate | Out-of-sample prediction | Monetary model | FIT | BUSINESS, FINANCE | RATE MODELS | Prices and rates | Business schools | Analysis | Foreign exchange
Journal Article
Journal of Empirical Finance, ISSN 0927-5398, 06/2018, Volume 47, pp. 90 - 104
The goal of this paper is to show that crude oil volatility is predictive of stock volatility in the short-term from both in-sample and out-of-sample... 
Economic significance | Crude oil volatility | Out-of-sample performance | Predictive regression | Stock volatility | EQUITY PREMIUM PREDICTION | BUSINESS-CYCLE | PRICES | MARKET VOLATILITY | MACROECONOMIC VARIABLES | FORECAST | BUSINESS, FINANCE | INVESTMENT | ECONOMIC VALUE | UNCERTAINTY | REALIZED VOLATILITY | ECONOMICS | Stocks | Analysis
Journal Article
Journal of International Money and Finance, ISSN 0261-5606, 11/2018, Volume 88, pp. 140 - 157
This paper examines the quarter-ahead out-of-sample predictability of Brazil, Mexico, the Philippines and Turkey credit spreads before and after the Lehman... 
Term structure | Macroeconomic uncertainty | Sovereign credit spreads | Emerging markets | Out-of-sample predictability | TRADE | BUSINESS, FINANCE | BUSINESS CYCLES | CONTAGION | RISK | DEBT | DEFAULT | Securities industry | Financial markets | Bonds
Journal Article
International Journal of Forecasting, ISSN 0169-2070, 01/2005, Volume 21, Issue 1, pp. 137 - 166
Journal Article
Transportation Research Part E, ISSN 1366-5545, 12/2016, Volume 96, pp. 81 - 94
Journal Article
Journal of International Money and Finance, ISSN 0261-5606, 12/2016, Volume 69, pp. 22 - 44
The Taylor rule has become the dominant model for academic evaluation of out-of-sample exchange rate predictability. Two versions of the Taylor rule model are... 
Exchange rates | Taylor rules | Out-of-sample exchange rate predictability | FIT | REAL-TIME DATA | BUSINESS, FINANCE | POLICY | FUNDAMENTALS | RATE MODELS | Money | Analysis
Journal Article
Journal of Forecasting, ISSN 0277-6693, 08/2012, Volume 31, Issue 5, pp. 423 - 442
Journal Article
Energy Economics, ISSN 0140-9883, 10/2017, Volume 68, pp. 240 - 254
Academic research relies extensively on stock market information to forecast oil volatility, with relatively little attention paid to the reverse evidence. Our... 
Stock realized volatility | Oil volatility risk premium | Out-of-sample forecast | Economic significance | Predictive regression | EQUITY PREMIUM PREDICTION | US STOCK | CRUDE-OIL | IMPLIED VOLATILITY | MACROECONOMIC DETERMINANTS | EXPECTED RETURNS | REALIZED VOLATILITY | ECONOMICS | PRICE SHOCKS | RETURN PREDICTABILITY | REGRESSIONS | Stocks | Stock markets
Journal Article
Review of Financial Economics, ISSN 1058-3300, 01/2014, Volume 23, Issue 1, pp. 30 - 45
In a true out-of-sample test based on fresh data we find no evidence that several well-known technical trading strategies predict stock markets over the period... 
Out-of-sample tests | Technical analysis | Market efficiency | Return predictability | Out‐of‐sample tests | G14 | G11 | Securities trading | Analysis | Financial markets
Journal Article
Journal of Business & Economic Statistics, ISSN 0735-0015, 07/2018, Volume 36, Issue 3, pp. 426 - 437
In this article, we provide analytical, simulation, and empirical evidence on a test of equal economic value from competing predictive models of asset returns.... 
Out-of-sample forecasting | Economic value | Predictability | Utility-based comparisons | SAMPLE | TESTS | STATISTICS & PROBABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS
Journal Article
Economic Modelling, ISSN 0264-9993, 01/2013, Volume 30, Issue 1, pp. 612 - 622
We examine both in-sample and out-of-sample predictability of South African stock return using macroeconomic variables. We base our analysis on a predictive... 
In-sample tests | Out-of-sample tests | Stock return predictability | Data mining | Macro variables | General-to-specific model | MARKET | EURO AREA | LEARN | WEALTH | ACCURACY | ASSET PRICING MODEL | INFLATION | VALUATION RATIOS | ARBITRAGE | ECONOMICS | CONSUMPTION | Analysis | Macroeconomics
Journal Article
Asia‐Pacific Journal of Financial Studies, ISSN 2041-9945, 10/2016, Volume 45, Issue 5, pp. 779 - 804
This paper proposes a new combination framework to explore the Chinese stock market return predictability. While most well‐known predictor variables and simple... 
Out‐of‐sample predictability | Chinese stock market | Forecast combination | Out-of-sample predictability | SAMPLE | EQUITY PREMIUM PREDICTION | TESTS | BUSINESS, FINANCE | NESTED MODELS | FORECASTS | INVESTOR SENTIMENT | COMBINATION | ACCURACY | Stocks | Stock markets | 경영학
Journal Article