| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| (UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities |
0 |
0 |
0 |
35 |
0 |
0 |
0 |
116 |
| (UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry |
0 |
0 |
0 |
38 |
1 |
1 |
1 |
136 |
| (UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds |
0 |
0 |
0 |
39 |
0 |
0 |
2 |
139 |
| A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1,845 |
| A Recursive Modelling Approach to Predicting UK Stock Returns |
0 |
0 |
0 |
625 |
0 |
0 |
1 |
1,163 |
| A Recursive Modelling Approach to Predicting UK Stock Returns' |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
1,166 |
| A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE |
0 |
0 |
0 |
6 |
0 |
0 |
6 |
2,245 |
| A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE |
0 |
0 |
0 |
0 |
1 |
1 |
12 |
1,926 |
| Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? |
0 |
0 |
0 |
266 |
0 |
0 |
2 |
717 |
| Breaks in the Phillips Curve: Evidence from Panel Data |
1 |
1 |
3 |
54 |
1 |
2 |
14 |
59 |
| Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities |
0 |
0 |
0 |
3 |
0 |
0 |
2 |
570 |
| Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities |
0 |
0 |
0 |
155 |
0 |
0 |
0 |
416 |
| Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis |
0 |
1 |
3 |
130 |
0 |
1 |
7 |
487 |
| Choice of Sample Split in Out-of-Sample Forecast Evaluation |
0 |
0 |
1 |
240 |
0 |
0 |
9 |
858 |
| Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? |
0 |
0 |
0 |
90 |
1 |
2 |
4 |
246 |
| Common Factors in Latin America?s Business Cycles |
0 |
0 |
0 |
38 |
0 |
0 |
0 |
167 |
| Country and Industry Dynamics in Stock Returns |
0 |
0 |
1 |
216 |
1 |
2 |
6 |
777 |
| Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns |
0 |
0 |
0 |
37 |
0 |
0 |
3 |
120 |
| Data-Snooping, Technical Trading Rule Performance and the Bootstrap |
0 |
1 |
4 |
340 |
0 |
1 |
17 |
1,084 |
| Data-Snooping, Technical Trading, Rule Performance and the Bootstrap |
0 |
2 |
7 |
1,031 |
4 |
7 |
21 |
2,713 |
| Decentralized Investment Management: Evidence from the Pension Fund Industry |
0 |
0 |
1 |
52 |
0 |
0 |
1 |
214 |
| Decentralized investment management: evidence from the pension fund industry |
0 |
0 |
0 |
20 |
0 |
0 |
13 |
145 |
| Disagreement and Biases in Inflation Expectations |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
227 |
| Disagreement and Biases in Inflation Expectations |
0 |
0 |
0 |
99 |
1 |
3 |
4 |
338 |
| Disagreement and Biases in Inflation Expectations |
0 |
0 |
1 |
138 |
0 |
0 |
2 |
393 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
0 |
1 |
1 |
370 |
0 |
1 |
4 |
1,009 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
0 |
2 |
2 |
701 |
3 |
5 |
14 |
1,900 |
| Economic Forecasting |
0 |
1 |
8 |
482 |
0 |
2 |
21 |
861 |
| Economic Implications of Bull and Bear Regimes in UK Stock Returns |
0 |
0 |
0 |
132 |
0 |
0 |
0 |
336 |
| Efficient Market Hypothesis and Forecasting |
0 |
1 |
4 |
1,249 |
1 |
4 |
11 |
3,385 |
| Estimating Loss Function Parameters |
0 |
0 |
0 |
280 |
1 |
1 |
4 |
1,224 |
| Firm Size and Cyclical Variations in Stock Returns |
0 |
0 |
0 |
427 |
1 |
2 |
5 |
1,354 |
| Forecast Combination With Entry and Exit of Experts |
0 |
0 |
1 |
88 |
1 |
2 |
4 |
285 |
| Forecast Combination with Entry and Exit of Experts |
0 |
0 |
1 |
100 |
0 |
2 |
5 |
382 |
| Forecast Combinations |
0 |
4 |
8 |
328 |
0 |
9 |
26 |
791 |
| Forecast Combinations |
3 |
5 |
23 |
493 |
5 |
16 |
48 |
1,093 |
| Forecast Combinations |
1 |
1 |
2 |
1,404 |
2 |
6 |
23 |
3,268 |
| Forecast Evaluation with Shared Data Sets |
0 |
0 |
0 |
121 |
1 |
1 |
6 |
373 |
| Forecast Rationality Tests Based on Multi-Horizon Bounds |
0 |
0 |
1 |
46 |
0 |
0 |
2 |
196 |
| Forecasting Stock Returns |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1,150 |
| Forecasting Time Series Subject to Multiple Structural Breaks |
0 |
0 |
1 |
201 |
0 |
0 |
2 |
550 |
| Forecasting Time Series Subject to Multiple Structural Breaks |
0 |
0 |
1 |
626 |
1 |
1 |
15 |
1,560 |
| Forecasting Time Series Subject to Multiple Structural Breaks |
0 |
0 |
0 |
167 |
0 |
1 |
3 |
496 |
| Forecasting Time Series Subject to Multiple Structural Breaks |
0 |
0 |
0 |
169 |
0 |
1 |
1 |
526 |
| Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach |
0 |
0 |
0 |
280 |
0 |
0 |
2 |
749 |
| How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? |
0 |
0 |
0 |
277 |
0 |
0 |
0 |
591 |
| How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? |
0 |
0 |
0 |
224 |
0 |
0 |
1 |
480 |
| How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data |
0 |
0 |
0 |
11 |
0 |
0 |
1 |
60 |
| Implied Learning Paths from Option Prices |
0 |
0 |
0 |
139 |
0 |
0 |
1 |
294 |
| International Asset Allocation with Time-Varying Investment Opportunities |
0 |
0 |
0 |
187 |
0 |
1 |
1 |
473 |
| Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts |
0 |
0 |
0 |
147 |
0 |
0 |
2 |
374 |
| Learning, Structural Instability and Present Value Calculations |
0 |
0 |
0 |
55 |
0 |
0 |
0 |
245 |
| Learning, Structural Instability and Present Value Calculations |
0 |
0 |
0 |
61 |
1 |
1 |
3 |
326 |
| Learning, Structural Instability and Present Value Calculations |
0 |
0 |
0 |
138 |
0 |
0 |
4 |
704 |
| Learning, structural instability and present value calculations |
0 |
0 |
0 |
31 |
0 |
0 |
1 |
266 |
| Learning, structural instability and present value calculations |
0 |
0 |
1 |
145 |
0 |
1 |
3 |
521 |
| Market Timing and Return Prediction under Model Instability |
0 |
0 |
0 |
508 |
1 |
1 |
1 |
1,209 |
| Model Instability and Choice of Observation Window |
0 |
0 |
0 |
26 |
1 |
1 |
1 |
127 |
| Moments of Markov Switching Models |
0 |
0 |
1 |
552 |
0 |
0 |
2 |
1,119 |
| Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions |
0 |
0 |
0 |
26 |
0 |
0 |
0 |
214 |
| Optimal Forecast Combination Under Regime Switching |
0 |
0 |
0 |
163 |
0 |
1 |
3 |
336 |
| Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities |
0 |
0 |
0 |
326 |
0 |
0 |
2 |
913 |
| Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities |
0 |
0 |
0 |
355 |
0 |
0 |
0 |
956 |
| Option prices and implied volatility dynamics under Bayesian learning |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
659 |
| Performance Measurement and Evaluation |
0 |
0 |
0 |
108 |
0 |
0 |
1 |
306 |
| Performance Measurement using Multiple Asset Class Portfolio Data |
0 |
0 |
1 |
299 |
0 |
0 |
8 |
1,233 |
| Properties of Optimal Forecasts |
0 |
0 |
3 |
184 |
0 |
0 |
5 |
709 |
| Properties of Optimal Forecasts |
0 |
0 |
1 |
287 |
0 |
0 |
1 |
648 |
| Real Time Econometrics |
0 |
0 |
0 |
211 |
0 |
0 |
0 |
583 |
| Real Time Econometrics |
0 |
0 |
0 |
90 |
0 |
1 |
2 |
316 |
| Real Time Econometrics |
0 |
0 |
0 |
368 |
0 |
0 |
2 |
772 |
| Real Time Econometrics |
0 |
0 |
0 |
82 |
0 |
1 |
3 |
288 |
| Regime Changes and Financial Markets |
1 |
1 |
7 |
75 |
2 |
7 |
26 |
302 |
| Regime Changes and Financial Markets |
1 |
1 |
5 |
209 |
8 |
11 |
30 |
482 |
| Relative Performance Evaluation Contracts and Asset Market Equilibrium |
0 |
0 |
0 |
91 |
0 |
0 |
1 |
452 |
| Relative Performance Evaluation Contracts and Asset Market Equilibrium |
0 |
0 |
0 |
97 |
0 |
0 |
1 |
653 |
| Relative Performance Evaluation Contracts and Asset Market Equilibrium |
0 |
0 |
0 |
108 |
0 |
0 |
0 |
541 |
| Relative Performance Evaluation Contracts and Asset Market Equilibrium |
0 |
0 |
0 |
53 |
0 |
0 |
0 |
356 |
| Return Predictability under Equilibrium Constraints on the Equity Premium |
0 |
0 |
0 |
28 |
0 |
0 |
0 |
151 |
| Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications |
0 |
0 |
1 |
100 |
0 |
0 |
4 |
370 |
| Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks |
0 |
0 |
0 |
111 |
0 |
0 |
4 |
454 |
| Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks |
0 |
0 |
0 |
244 |
0 |
0 |
2 |
773 |
| Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks |
0 |
0 |
0 |
178 |
0 |
0 |
5 |
550 |
| Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching |
0 |
0 |
0 |
10 |
0 |
0 |
2 |
785 |
| Structural Breaks, Incomplete Information and Stock Prices |
0 |
1 |
1 |
14 |
0 |
2 |
2 |
54 |
| Structural Breaks, Incomplete Information and Stock Prices |
0 |
1 |
1 |
187 |
0 |
1 |
1 |
454 |
| THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
660 |
| THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
548 |
| Term Structure of Risk Under Alternative Econometric Specifications |
0 |
0 |
0 |
114 |
0 |
0 |
1 |
341 |
| Testing Dependence Among Serially Correlated Multi-category Variables |
0 |
0 |
0 |
191 |
0 |
0 |
4 |
762 |
| Testing Dependence among Serially Correlated Multi-Category Variables |
0 |
0 |
0 |
74 |
0 |
0 |
2 |
311 |
| Testing Dependence among Serially Correlated Multi-category Variables |
0 |
0 |
0 |
52 |
0 |
0 |
1 |
256 |
| The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns |
0 |
0 |
0 |
237 |
1 |
1 |
1 |
753 |
| The Forecasing time series subject to multiple structure breaks |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
273 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
140 |
0 |
0 |
0 |
669 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
16 |
1 |
1 |
1 |
146 |
| The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast |
0 |
0 |
0 |
117 |
0 |
0 |
1 |
339 |
| The Use of Recursive Model Selection Strategies in Forecasting Stock Returns |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
723 |
| The performance of European equity mutual funds |
0 |
0 |
0 |
31 |
0 |
1 |
3 |
178 |
| Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability |
0 |
0 |
0 |
27 |
0 |
0 |
2 |
169 |
| Variable Selection and Inference for Multi-period Forecasting Problems |
0 |
0 |
0 |
95 |
0 |
0 |
1 |
245 |
| Variable Selection and Inference for Multi-period Forecasting Problems |
0 |
0 |
0 |
101 |
0 |
0 |
0 |
194 |
| Variable Selection and Inference for Multi-period Forecasting Problems |
0 |
0 |
0 |
62 |
0 |
0 |
0 |
211 |
| Total Working Papers |
7 |
24 |
96 |
19,078 |
43 |
109 |
478 |
67,632 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Recursive Modelling Approach to Predicting UK Stock Returns |
0 |
0 |
0 |
373 |
1 |
1 |
2 |
876 |
| A Simple Nonparametric Test of Predictive Performance |
0 |
0 |
0 |
0 |
0 |
2 |
10 |
2,741 |
| A generalization of the non-parametric Henriksson-Merton test of market timing |
0 |
0 |
1 |
595 |
0 |
0 |
4 |
1,396 |
| An Evaluation of the World Economic Outlook Forecasts |
0 |
0 |
1 |
84 |
1 |
2 |
5 |
268 |
| An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns |
0 |
0 |
1 |
371 |
3 |
3 |
7 |
883 |
| Annals issue on forecasting--Guest editors' introduction |
0 |
0 |
0 |
21 |
0 |
0 |
1 |
77 |
| Asset Allocation Dynamics and Pension Fund Performance |
1 |
2 |
5 |
736 |
7 |
9 |
23 |
2,692 |
| Asset allocation under multivariate regime switching |
0 |
8 |
12 |
491 |
3 |
16 |
39 |
1,101 |
| Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? |
0 |
1 |
4 |
160 |
1 |
5 |
11 |
475 |
| Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities |
0 |
0 |
0 |
161 |
0 |
0 |
5 |
490 |
| Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market |
0 |
0 |
0 |
59 |
0 |
0 |
0 |
167 |
| Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis |
0 |
1 |
8 |
340 |
4 |
9 |
29 |
1,057 |
| Cointegration Tests of Present Value Models with a Time-Varying Discount Factor |
0 |
0 |
0 |
251 |
0 |
0 |
0 |
846 |
| Common factors in Latin America's business cycles |
0 |
0 |
0 |
87 |
0 |
4 |
6 |
311 |
| Completion time structures of stock price movements |
0 |
0 |
0 |
35 |
0 |
1 |
3 |
192 |
| Dangers of data mining: The case of calendar effects in stock returns |
0 |
2 |
10 |
1,171 |
2 |
11 |
34 |
2,963 |
| Data mining with local model specification uncertainty: a discussion of Hoover and Perez |
0 |
0 |
0 |
1 |
0 |
1 |
3 |
483 |
| Disagreement and Biases in Inflation Expectations |
0 |
0 |
0 |
179 |
1 |
5 |
15 |
590 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
1 |
3 |
6 |
239 |
3 |
7 |
20 |
569 |
| Economic Forecasting |
0 |
1 |
7 |
211 |
0 |
6 |
30 |
1,061 |
| Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns |
0 |
0 |
0 |
343 |
0 |
1 |
1 |
717 |
| Efficient market hypothesis and forecasting |
0 |
2 |
10 |
411 |
1 |
11 |
34 |
1,111 |
| Elusive return predictability |
0 |
0 |
2 |
155 |
0 |
1 |
8 |
385 |
| Forecast Combination With Entry and Exit of Experts |
0 |
0 |
2 |
69 |
0 |
1 |
5 |
226 |
| Forecast evaluation with shared data sets |
0 |
0 |
0 |
71 |
1 |
1 |
2 |
195 |
| Forecasts of US short-term interest rates: A flexible forecast combination approach |
0 |
0 |
1 |
242 |
0 |
1 |
5 |
632 |
| How costly is it to ignore breaks when forecasting the direction of a time series? |
0 |
0 |
0 |
97 |
0 |
0 |
2 |
323 |
| Instability of return prediction models |
0 |
1 |
6 |
207 |
0 |
3 |
11 |
477 |
| International Asset Allocation with Time-Varying Investment Opportunities |
0 |
0 |
0 |
95 |
0 |
0 |
1 |
360 |
| International asset allocation under regime switching, skew, and kurtosis preferences |
0 |
0 |
0 |
221 |
1 |
2 |
5 |
590 |
| Learning, Structural Instability, and Present Value Calculations |
0 |
0 |
1 |
52 |
0 |
0 |
2 |
280 |
| Market timing and return prediction under model instability |
0 |
1 |
6 |
298 |
3 |
8 |
21 |
753 |
| Moments of Markov switching models |
0 |
1 |
3 |
492 |
1 |
4 |
9 |
990 |
| Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts |
0 |
0 |
7 |
317 |
0 |
1 |
19 |
1,166 |
| OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING * |
0 |
0 |
0 |
106 |
1 |
1 |
3 |
327 |
| On the optimality of adaptive expectations: Muth revisited |
0 |
0 |
1 |
88 |
0 |
0 |
1 |
213 |
| Optimal forecast combinations under general loss functions and forecast error distributions |
0 |
0 |
2 |
184 |
0 |
1 |
6 |
567 |
| Optimal properties of exponentially weighted forecasts in the presence of different information sources |
0 |
0 |
0 |
101 |
0 |
0 |
1 |
265 |
| Option prices under Bayesian learning: implied volatility dynamics and predictive densities |
0 |
0 |
0 |
311 |
0 |
0 |
2 |
660 |
| Persistence in forecasting performance and conditional combination strategies |
0 |
1 |
8 |
372 |
0 |
5 |
23 |
868 |
| Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach |
0 |
0 |
0 |
37 |
0 |
2 |
5 |
154 |
| Predictability of Stock Returns: Robustness and Economic Significance |
1 |
2 |
20 |
1,077 |
2 |
4 |
29 |
2,043 |
| Predictability of stock returns and asset allocation under structural breaks |
0 |
0 |
1 |
178 |
0 |
1 |
5 |
517 |
| Present value models with feedback: Solutions, stability, bubbles, and some empirical evidence |
0 |
0 |
0 |
55 |
0 |
0 |
0 |
190 |
| Properties of equilibrium asset prices under alternative learning schemes |
0 |
0 |
1 |
117 |
0 |
0 |
2 |
277 |
| Properties of optimal forecasts under asymmetric loss and nonlinearity |
0 |
2 |
4 |
121 |
1 |
3 |
8 |
295 |
| REAL-TIME ECONOMETRICS |
0 |
0 |
0 |
61 |
0 |
0 |
0 |
180 |
| Recursive Modeling of Nonlinear Dynamics in UK Stock Returns |
0 |
0 |
0 |
85 |
1 |
1 |
2 |
234 |
| Relative Performance Evaluation Contracts and Asset Market Equilibrium |
0 |
0 |
0 |
52 |
0 |
0 |
1 |
326 |
| Reply to the discussion of Elusive Return Predictability |
0 |
0 |
0 |
25 |
0 |
0 |
0 |
76 |
| Selection of estimation window in the presence of breaks |
0 |
1 |
12 |
556 |
1 |
3 |
23 |
1,144 |
| Size and Value Anomalies under Regime Shifts |
0 |
0 |
1 |
100 |
1 |
1 |
3 |
246 |
| Small sample properties of forecasts from autoregressive models under structural breaks |
0 |
1 |
4 |
138 |
0 |
2 |
13 |
483 |
| Structural Breaks, Incomplete Information, and Stock Prices |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
337 |
| Term structure of risk under alternative econometric specifications |
0 |
0 |
0 |
159 |
0 |
2 |
5 |
367 |
| Testing Dependence Among Serially Correlated Multicategory Variables |
0 |
0 |
2 |
113 |
1 |
1 |
6 |
291 |
| Testing Forecast Optimality Under Unknown Loss |
1 |
1 |
1 |
77 |
1 |
1 |
3 |
216 |
| The hazards of mutual fund underperformance: A Cox regression analysis |
0 |
0 |
1 |
132 |
0 |
0 |
3 |
486 |
| Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability |
0 |
0 |
0 |
11 |
1 |
1 |
1 |
96 |
| Variable selection, estimation and inference for multi-period forecasting problems |
1 |
3 |
5 |
119 |
1 |
4 |
7 |
340 |
| Why do dividend yields forecast stock returns? |
0 |
0 |
0 |
84 |
0 |
0 |
0 |
190 |
| Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion |
0 |
2 |
13 |
216 |
3 |
10 |
45 |
599 |
| Total Journal Articles |
5 |
36 |
169 |
13,310 |
47 |
160 |
570 |
39,430 |
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