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G12, F30, C32

International asset allocation, regime switching, return predictability, skew and kurtosis preferences, home bias

mutual funds, performance evaluation, bootstrap

mutual funds, performance evaluation, bootstrap

Regime switching, Portfolio choice, Predictability

regime switching, portfolio choice, predictability

Optimal Asset Allocation, Regime Switching, Skew and Kurtosis Preference

G12, G11, C32, hedging demands, optimal portfolio choice, regimes, size and value portfolios

optimal portfolio choice, regimes, hedging demands, size and value portfolios

Rational learning, Black-Scholes biases, option pricing

Option prices, Black-Scholes option pricing model, Bayesian learning

Asset allocation, regime wwitching, bull and bear, optimal consumption, portfolio choice

Specification search, data snooping, recursive/sequential modelling, automated model selection

specification search, data snooping, recursive/sequential modelling, automated model selection

Regime switching, stock and bond return predictability, nonlinear modeling

Regime switching, stock and bond return predictability, nonlinear modeling

regime switching, non-linear equilibrium asset pricing models, mixture distributions rare events, jumps

jumps, mixture distributions, non-linear equilibrium asset pricing models, rare events, regime switching

Financial Prediction Model, Breakpoint Structural Stability, International Stock Market

Forecast combinations, regime switches, short term interest rates, expectations hypothesis.

forecast combinations, regime switching, interest rates

Structural breaks, forecasting, hierarchical hidden Markov Chain Model, Bayesian model averaging

structural breaks, forecasting, hierarchical hidden Markov chain model, Bayesian model averaging

risk-return trade-off, time-varying expected returns, conditional volatility, economic activity index, covariance risk, boosted regression trees.

Banking Runs, Financial Crisis, Money Market Mutual Funds

Stock return predictability, model instability, structural breaks

European equity markets, mutual fund performance, time-varying investment opportunities

European equity markets; mutual fund performance; time-varying investment opportunities.

Markov Switching; Density Modelling; Mixtures of Distributions; Business Cycle risk

Forecast Combination, Asymmetric Loss, Inflation Forecasting

Rational learning, adaptive learning, Bayesian updating, lattice models, asset prices

Rational learning, adaptive learning, Bayesian updating, lattice models, asset prices.

Term structure of risk, nonlinear econometric models, simulation methods

Term structure of risk, nonlinear econometric models, simulation models

Term structure of risk, nonlinear econometric models, simulation methods

Sign Prediction, Estimation Window, Structural Breaks

Time-series forecasts, survey forecasts, model instability

Forecast combinations, pooling and trimming, shrinkage methods, model misspecification, diversification gains

predictability of stock returns, mean squared forecast error, portfolio selection, probability distribution forecasts

predictability of stock returns, mean squared forecast error, portfolio selection, probability distribution forecasts

Diversification, Risk, Volatility States, Regime Switching, International Financial Markets

Diversification, risk, volatility states, international financial markets

present value, stock prices, structural breaks, Bayesian learning

present value, stock prices, structural breaks, Bayesian learning

Autoregression, MSFE, rolling window estimator, small sample properties of forecasts and structural breaks

Small Sample Properties of Forecasts, RMSFE, Structural Breaks, Autoregression

Global economic condition, forecasting, forecast performance and evaluation

forecast evaluation, loss function, rationality tests

contingency tables, canonical correlations, serial dependence, tests of

Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability

Economic constraints, Sharpe ratio, Equity premium predictions, Bayesian analysis

Efficient market hypothesis, forecast evaluation, model specification, learning

Forecast combination, time-varying combination weights, Markov switching, survey data

Portfolio delegation, relative performance evaluation, equity premium

asymmetric loss, real-time data, survey expectations

factor-augmented VAR, forecast horizon, macroeconomic forecasting

forecast combination, forecast evaluation, data snooping, real-time data, Survey of Professional Forecasters

Fixed-event forecasts, multiple forecast horizons, Kalman filtering, survey data

Real-time Data, Survey of Professional Forecasters, Bias-adjustment, EM Algorithm

Hazard model, survival rate, interest rate effect

Forecast evaluation, loss function, rationality, efficient markets

Multi-period forecasts, direct and iterated methods, factor augmented VARs

Forecast evaluation, bootstrap, data sharing, calendar effects, technical trading

IMF, OECD, asymmetric loss, macroeconomic forecasting

International asset allocation, market timing, UK pension funds, investment performance

asset management, decentralized management, pension funds, principal agent problems

Economic forecasting, forecast evaluation, loss function

cointegrated asset prices, optimal portfolio choice, risky arbitrage

analysts' earnings forecasts, mixture model, predictability of forecast revisions

factor models, International business cycles, Latin America

Forecast combinations, term structure of interest rates

forecast horizon, forecast optimality, real-time data, survey forecasts

real time learning, survey forecasts, term structure of forecasts

Structural breaks, learning, stock prices