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University of California, San Diego (UCSD) - Department of Economics
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Money market mutual funds; bank runs; strategic complementarities
mutual funds, performance evaluation, bootstrap
International asset allocation, regime switching, return predictability, skew and kurtosis preferences, home bias
G12, F30, C32
regime switching, portfolio choice, predictability
Regime switching, Portfolio choice, Predictability
regime switching, non-linear equilibrium asset pricing models, mixture distributions rare events, jumps
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP8480.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
jumps, mixture distributions, non-linear equilibrium asset pricing models, rare events, regime switching
Optimal Asset Allocation, Regime Switching, Skew and Kurtosis Preference
optimal portfolio choice, regimes, hedging demands, size and value portfolios
G12, G11, C32, hedging demands, optimal portfolio choice, regimes, size and value portfolios
File name: DP3005.
Option prices, Black-Scholes option pricing model, Bayesian learning
Rational learning, Black-Scholes biases, option pricing
Regime switching, stock and bond return predictability, nonlinear modeling
Asset allocation, regime wwitching, bull and bear, optimal consumption, portfolio choice
specification search, data snooping, recursive/sequential modelling, automated model selection
File name: SSRN-id560063.
Specification search, data snooping, recursive/sequential modelling, automated model selection
Economic constraints, Sharpe ratio, Equity premium predictions, Bayesian analysis
File name: DP9377.
Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability
forecast combinations, regime switching, interest rates
Forecast combinations, regime switches, short term interest rates, expectations hypothesis.
structural breaks, forecasting, hierarchical hidden Markov chain model, Bayesian model averaging
File name: SSRN-id621549.
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.
Financial Prediction Model, Breakpoint Structural Stability, International Stock Market
European equity markets; mutual fund performance; time-varying investment opportunities.
European equity markets, mutual fund performance, time-varying investment opportunities
Stock return predictability, model instability, structural breaks
Time-series forecasts, survey forecasts, model instability
File name: SSRN-id878546.
Forecast combinations, pooling and trimming, shrinkage methods, model misspecification, diversification gains
bond returns, yield curve, macro factors, stochastic volatility, time-varying parameters, unspanned macro risk factors
Markov Switching; Density Modelling; Mixtures of Distributions; Business Cycle risk
Term structure of risk, nonlinear econometric models, simulation methods
File name: SSRN-id623827.
Term structure of risk, nonlinear econometric models, simulation models
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
Sign Prediction, Estimation Window, Structural Breaks
MIDAS regressions; Bayesian estimation; stochastic volatility; out-of-sample forecasts; GDP growth
File name: DP10160.
Bayesian estimation, GDP growth, MIDAS regressions, out-of-sample forecasts, stochastic volatility
Global economic condition, forecasting, forecast performance and evaluation
This is a Palgrave MacMillan paper. Palgrave MacMillan charges $30.00 .
File name: palgrave.
Diversification, Risk, Volatility States, Regime Switching, International Financial Markets
File name: SSRN-id549161.
Diversification, risk, volatility states, international financial markets
present value, stock prices, structural breaks, Bayesian learning
predictability of stock returns, mean squared forecast error, portfolio selection, probability distribution forecasts
Small Sample Properties of Forecasts, RMSFE, Structural Breaks, Autoregression
File name: SSRN-id560027.
Autoregression, MSFE, rolling window estimator, small sample properties of forecasts and structural breaks
forecast evaluation, loss function, rationality tests
Time-varying parameters, regime switching, change point models, stochastic volatility, GDP growth forecasts, inflation forecasts
File name: DP11355.
GDP growth, inflation, regime switching, stochastic volatility, time-varying parameters
contingency tables, canonical correlations, serial dependence, tests of
Money market funds, Eurozone crisis, financial fragility, endogenous information acqui- sition, transparency in short-term funding markets
File name: DP11895.
endogenous information acquisition, eurozone crisis, financial fragility, Money market funds, transparency in short-term funding markets
File name: DP3593.
Efficient market hypothesis, forecast evaluation, model specification, learning
File name: DP7139.
factor-augmented VAR, forecast horizon, macroeconomic forecasting
forecast combination, forecast evaluation, data snooping, real-time data, Survey of Professional Forecasters
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: iere.
File name: SSRN-id628772.
Forecast combination, time-varying combination weights, Markov switching, survey data
File name: ecoj.
File name: DP4038.
Portfolio delegation, relative performance evaluation, equity premium
asymmetric loss, real-time data, survey expectations
Fixed-event forecasts, multiple forecast horizons, Kalman filtering, survey data
Real-time Data, Survey of Professional Forecasters, Bias-adjustment, EM Algorithm
Multi-period forecasts, direct and iterated methods, factor augmented VARs
File name: DP4104.
Hazard model, survival rate, interest rate effect
File name: manc.
File name: DP4037.
Forecast evaluation, loss function, rationality, efficient markets
File name: DP3060.
Forecast evaluation, bootstrap, data sharing, calendar effects, technical trading
File name: DP3821.
IMF, OECD, asymmetric loss, macroeconomic forecasting
File name: DP3464.
International asset allocation, market timing, UK pension funds, investment performance
File name: DP7679.
asset management, decentralized management, pension funds, principal agent problems
File name: ecoj.
File name: DP6158.
Economic forecasting, forecast evaluation, loss function
File name: DP7188.
cointegrated asset prices, optimal portfolio choice, risky arbitrage
File name: DP7656.
analysts' earnings forecasts, mixture model, predictability of forecast revisions
File name: DP11354.
Big Data, Forecast evaluation, Forecast models, Model Instability, Parameter Estimation
File name: DP9906.
bank runs, money market mutual funds, quantile regression, strategic complementarities
File name: DP7671.
factor models, International business cycles, Latin America
File name: DP6188.
Forecast combinations, term structure of interest rates
File name: DP8194.
forecast horizon, forecast optimality, real-time data, survey forecasts
File name: DP6526.
real time learning, survey forecasts, term structure of forecasts
File name: DP11896.
equity mutual funds, Fund confidence set, risk-adjusted performance
Networks, Investment Management, Performance
Structural breaks, learning, stock prices
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