| 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 |
2 |
114 |
| (UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry |
0 |
0 |
0 |
38 |
0 |
1 |
6 |
127 |
| (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 |
6 |
135 |
| A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing |
0 |
0 |
0 |
0 |
2 |
6 |
14 |
1,828 |
| A Recursive Modelling Approach to Predicting UK Stock Returns |
0 |
1 |
3 |
620 |
0 |
2 |
10 |
1,148 |
| A Recursive Modelling Approach to Predicting UK Stock Returns' |
0 |
0 |
0 |
0 |
0 |
1 |
8 |
1,155 |
| A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE |
0 |
0 |
0 |
6 |
1 |
4 |
24 |
2,201 |
| A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE |
0 |
0 |
0 |
0 |
5 |
6 |
26 |
1,856 |
| Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? |
0 |
0 |
0 |
263 |
1 |
4 |
14 |
696 |
| Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities |
0 |
0 |
0 |
155 |
0 |
0 |
4 |
413 |
| Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities |
0 |
0 |
0 |
3 |
0 |
1 |
11 |
561 |
| Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis |
0 |
2 |
5 |
116 |
5 |
13 |
42 |
343 |
| Choice of Sample Split in Out-of-Sample Forecast Evaluation |
0 |
0 |
5 |
229 |
1 |
3 |
29 |
773 |
| Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? |
0 |
0 |
1 |
88 |
0 |
1 |
15 |
226 |
| Common Factors in Latin America’s Business Cycles |
0 |
0 |
0 |
37 |
4 |
4 |
9 |
159 |
| Country and Industry Dynamics in Stock Returns |
0 |
0 |
2 |
215 |
0 |
0 |
8 |
766 |
| Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns |
0 |
0 |
2 |
33 |
2 |
3 |
16 |
105 |
| Data-Snooping, Technical Trading Rule Performance and the Bootstrap |
1 |
2 |
8 |
326 |
2 |
9 |
25 |
1,006 |
| Data-Snooping, Technical Trading, Rule Performance and the Bootstrap |
0 |
4 |
20 |
988 |
4 |
12 |
59 |
2,565 |
| Decentralized Investment Management: Evidence from the Pension Fund Industry |
0 |
0 |
1 |
51 |
4 |
9 |
13 |
184 |
| Decentralized investment management: evidence from the pension fund industry |
0 |
0 |
0 |
16 |
1 |
3 |
11 |
108 |
| Disagreement and Biases in Inflation Expectations |
0 |
3 |
4 |
128 |
1 |
5 |
16 |
307 |
| Disagreement and Biases in Inflation Expectations |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
162 |
| Disagreement and Biases in Inflation Expectations |
0 |
0 |
0 |
97 |
1 |
1 |
6 |
278 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
0 |
0 |
1 |
687 |
3 |
4 |
19 |
1,835 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
0 |
0 |
0 |
357 |
2 |
4 |
17 |
969 |
| Economic Forecasting |
0 |
1 |
10 |
459 |
2 |
5 |
28 |
791 |
| Economic Implications of Bull and Bear Regimes in UK Stock Returns |
0 |
0 |
1 |
128 |
1 |
1 |
7 |
330 |
| Efficient Market Hypothesis and Forecasting |
0 |
1 |
12 |
1,222 |
4 |
20 |
66 |
3,272 |
| Estimating Loss Function Parameters |
1 |
1 |
1 |
271 |
1 |
3 |
19 |
1,199 |
| Firm Size and Cyclical Variations in Stock Returns |
0 |
0 |
1 |
422 |
2 |
5 |
24 |
1,262 |
| Forecast Combination With Entry and Exit of Experts |
0 |
0 |
2 |
83 |
1 |
2 |
13 |
202 |
| Forecast Combination with Entry and Exit of Experts |
0 |
0 |
2 |
96 |
1 |
2 |
13 |
312 |
| Forecast Combinations |
2 |
2 |
13 |
1,367 |
4 |
10 |
47 |
3,138 |
| Forecast Combinations |
0 |
2 |
21 |
276 |
5 |
20 |
78 |
625 |
| Forecast Combinations |
2 |
5 |
35 |
405 |
6 |
17 |
93 |
833 |
| Forecast Evaluation with Shared Data Sets |
0 |
0 |
1 |
120 |
0 |
1 |
11 |
360 |
| Forecast Rationality Tests Based on Multi-Horizon Bounds |
0 |
0 |
0 |
43 |
1 |
2 |
11 |
153 |
| Forecasting Stock Returns |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
1,140 |
| Forecasting Time Series Subject to Multiple Structural Breaks |
0 |
0 |
2 |
620 |
1 |
2 |
27 |
1,483 |
| Forecasting Time Series Subject to Multiple Structural Breaks |
0 |
0 |
0 |
167 |
2 |
3 |
5 |
517 |
| Forecasting Time Series Subject to Multiple Structural Breaks |
0 |
0 |
1 |
199 |
2 |
3 |
14 |
540 |
| Forecasting Time Series Subject to Multiple Structural Breaks |
0 |
0 |
1 |
166 |
1 |
2 |
8 |
486 |
| Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach |
0 |
0 |
1 |
277 |
1 |
1 |
5 |
737 |
| How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? |
0 |
0 |
1 |
224 |
0 |
1 |
8 |
471 |
| How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? |
0 |
0 |
2 |
275 |
1 |
2 |
11 |
581 |
| How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data |
0 |
0 |
0 |
11 |
0 |
0 |
6 |
56 |
| Implied Learning Paths from Option Prices |
0 |
0 |
0 |
138 |
0 |
0 |
3 |
291 |
| International Asset Allocation with Time-Varying Investment Opportunities |
0 |
0 |
1 |
186 |
0 |
1 |
9 |
469 |
| Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts |
0 |
0 |
0 |
144 |
0 |
0 |
5 |
363 |
| Learning, Structural Instability and Present Value Calculations |
0 |
0 |
1 |
137 |
1 |
2 |
9 |
696 |
| Learning, Structural Instability and Present Value Calculations |
0 |
0 |
0 |
54 |
0 |
1 |
5 |
242 |
| Learning, Structural Instability and Present Value Calculations |
0 |
0 |
0 |
61 |
0 |
1 |
2 |
317 |
| Learning, structural instability and present value calculations |
0 |
0 |
1 |
142 |
0 |
3 |
9 |
497 |
| Learning, structural instability and present value calculations |
0 |
0 |
0 |
31 |
0 |
1 |
4 |
263 |
| Market Timing and Return Prediction under Model Instability |
1 |
1 |
1 |
499 |
2 |
3 |
12 |
1,187 |
| Model Instability and Choice of Observation Window |
0 |
0 |
0 |
26 |
0 |
3 |
12 |
118 |
| Moments of Markov Switching Models |
0 |
0 |
3 |
542 |
1 |
2 |
9 |
1,089 |
| Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions |
0 |
0 |
1 |
25 |
15 |
17 |
57 |
171 |
| Optimal Forecast Combination Under Regime Switching |
0 |
0 |
0 |
161 |
0 |
0 |
3 |
321 |
| Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities |
0 |
0 |
0 |
355 |
0 |
2 |
9 |
948 |
| Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities |
0 |
0 |
0 |
326 |
0 |
3 |
17 |
877 |
| Option prices and implied volatility dynamics under Bayesian learning |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
647 |
| Performance Measurement and Evaluation |
0 |
1 |
2 |
106 |
1 |
2 |
10 |
298 |
| Performance Measurement using Multiple Asset Class Portfolio Data |
0 |
0 |
4 |
293 |
5 |
6 |
17 |
1,212 |
| Properties of Optimal Forecasts |
0 |
0 |
0 |
181 |
0 |
4 |
15 |
690 |
| Properties of Optimal Forecasts |
0 |
1 |
3 |
284 |
4 |
7 |
40 |
629 |
| Real Time Econometrics |
0 |
0 |
0 |
81 |
0 |
1 |
8 |
281 |
| Real Time Econometrics |
0 |
0 |
0 |
88 |
0 |
1 |
10 |
307 |
| Real Time Econometrics |
0 |
0 |
0 |
210 |
0 |
1 |
8 |
578 |
| Real Time Econometrics |
0 |
0 |
1 |
368 |
0 |
1 |
9 |
766 |
| Regime Changes and Financial Markets |
0 |
1 |
5 |
194 |
0 |
3 |
16 |
420 |
| Regime Changes and Financial Markets |
1 |
1 |
9 |
57 |
5 |
9 |
37 |
210 |
| Relative Performance Evaluation Contracts and Asset Market Equilibrium |
0 |
0 |
0 |
52 |
0 |
4 |
10 |
352 |
| Relative Performance Evaluation Contracts and Asset Market Equilibrium |
0 |
0 |
0 |
91 |
0 |
1 |
7 |
449 |
| Relative Performance Evaluation Contracts and Asset Market Equilibrium |
0 |
0 |
1 |
108 |
1 |
7 |
14 |
539 |
| Relative Performance Evaluation Contracts and Asset Market Equilibrium |
0 |
0 |
0 |
97 |
0 |
4 |
8 |
644 |
| Return Predictability under Equilibrium Constraints on the Equity Premium |
0 |
0 |
1 |
28 |
1 |
2 |
9 |
149 |
| Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications |
0 |
0 |
0 |
98 |
3 |
5 |
10 |
358 |
| Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks |
0 |
0 |
0 |
108 |
0 |
3 |
10 |
433 |
| Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks |
0 |
0 |
0 |
177 |
0 |
2 |
9 |
535 |
| Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks |
1 |
1 |
1 |
242 |
1 |
3 |
10 |
755 |
| Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching |
0 |
0 |
0 |
10 |
0 |
2 |
9 |
763 |
| Structural Breaks, Incomplete Information and Stock Prices |
0 |
0 |
0 |
184 |
0 |
0 |
1 |
446 |
| Structural Breaks, Incomplete Information and Stock Prices |
0 |
0 |
1 |
13 |
0 |
0 |
5 |
44 |
| THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS |
0 |
0 |
0 |
0 |
1 |
2 |
9 |
658 |
| THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
544 |
| Term Structure of Risk Under Alternative Econometric Specifications |
0 |
0 |
0 |
113 |
0 |
0 |
6 |
333 |
| Testing Dependence Among Serially Correlated Multi-category Variables |
0 |
0 |
1 |
190 |
1 |
3 |
12 |
744 |
| Testing Dependence among Serially Correlated Multi-Category Variables |
0 |
0 |
3 |
74 |
0 |
2 |
10 |
305 |
| Testing Dependence among Serially Correlated Multi-category Variables |
0 |
1 |
2 |
52 |
0 |
3 |
10 |
250 |
| The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns |
0 |
0 |
2 |
234 |
1 |
3 |
15 |
735 |
| The Forecasing time series subject to multiple structure breaks |
0 |
0 |
0 |
0 |
0 |
1 |
8 |
267 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
14 |
3 |
4 |
18 |
109 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
138 |
0 |
0 |
10 |
596 |
| The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast |
0 |
0 |
2 |
113 |
0 |
1 |
7 |
329 |
| The Use of Recursive Model Selection Strategies in Forecasting Stock Returns |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
712 |
| The performance of European equity mutual funds |
0 |
0 |
0 |
31 |
0 |
0 |
4 |
159 |
| Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability |
0 |
0 |
0 |
26 |
1 |
1 |
6 |
160 |
| Variable Selection and Inference for Multi-period Forecasting Problems |
0 |
0 |
0 |
94 |
1 |
4 |
5 |
238 |
| Variable Selection and Inference for Multi-period Forecasting Problems |
0 |
0 |
1 |
61 |
1 |
3 |
11 |
206 |
| Variable Selection and Inference for Multi-period Forecasting Problems |
0 |
0 |
0 |
101 |
1 |
3 |
6 |
192 |
| Variable Selection, Estimation and Inference for Multi-period Forecasting Problems |
0 |
0 |
2 |
170 |
2 |
6 |
15 |
432 |
| Total Working Papers |
9 |
31 |
208 |
18,666 |
129 |
347 |
1,518 |
64,831 |
| 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 |
3 |
372 |
0 |
1 |
10 |
861 |
| A Simple Nonparametric Test of Predictive Performance |
0 |
0 |
0 |
0 |
5 |
10 |
47 |
2,609 |
| A generalization of the non-parametric Henriksson-Merton test of market timing |
1 |
2 |
5 |
581 |
4 |
11 |
25 |
1,347 |
| An Evaluation of the World Economic Outlook Forecasts |
0 |
2 |
4 |
81 |
1 |
6 |
11 |
251 |
| An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns |
0 |
1 |
4 |
362 |
2 |
3 |
14 |
847 |
| Annals issue on forecasting--Guest editors' introduction |
0 |
0 |
0 |
21 |
1 |
3 |
5 |
73 |
| Asset Allocation Dynamics and Pension Fund Performance |
1 |
2 |
10 |
718 |
5 |
13 |
39 |
2,617 |
| Asset allocation under multivariate regime switching |
0 |
5 |
42 |
442 |
2 |
17 |
102 |
937 |
| Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? |
0 |
0 |
4 |
149 |
1 |
2 |
19 |
436 |
| Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities |
0 |
1 |
5 |
151 |
0 |
4 |
28 |
459 |
| Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market |
1 |
1 |
1 |
59 |
1 |
1 |
7 |
162 |
| Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis |
1 |
6 |
15 |
309 |
3 |
18 |
49 |
945 |
| Cointegration Tests of Present Value Models with a Time-Varying Discount Factor |
0 |
0 |
2 |
248 |
0 |
0 |
2 |
837 |
| Common factors in Latin America's business cycles |
1 |
1 |
2 |
80 |
2 |
4 |
11 |
285 |
| Completion time structures of stock price movements |
0 |
0 |
0 |
35 |
1 |
2 |
9 |
182 |
| Dangers of data mining: The case of calendar effects in stock returns |
3 |
7 |
37 |
1,066 |
11 |
23 |
106 |
2,700 |
| Data mining with local model specification uncertainty: a discussion of Hoover and Perez |
0 |
0 |
0 |
1 |
0 |
0 |
5 |
479 |
| Disagreement and Biases in Inflation Expectations |
0 |
0 |
0 |
179 |
4 |
8 |
22 |
455 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
0 |
0 |
0 |
203 |
2 |
4 |
17 |
441 |
| Economic Forecasting |
4 |
9 |
32 |
170 |
7 |
20 |
75 |
908 |
| Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns |
0 |
1 |
2 |
341 |
0 |
4 |
7 |
696 |
| Efficient market hypothesis and forecasting |
0 |
0 |
2 |
379 |
0 |
2 |
34 |
985 |
| Elusive return predictability |
0 |
0 |
9 |
129 |
2 |
3 |
23 |
306 |
| Forecast Combination With Entry and Exit of Experts |
0 |
0 |
2 |
65 |
0 |
0 |
13 |
183 |
| Forecast evaluation with shared data sets |
0 |
0 |
3 |
58 |
0 |
0 |
7 |
164 |
| Forecasts of US short-term interest rates: A flexible forecast combination approach |
0 |
0 |
1 |
232 |
0 |
1 |
8 |
597 |
| How costly is it to ignore breaks when forecasting the direction of a time series? |
1 |
1 |
5 |
94 |
1 |
4 |
16 |
307 |
| Instability of return prediction models |
1 |
4 |
15 |
173 |
4 |
10 |
37 |
409 |
| International Asset Allocation with Time-Varying Investment Opportunities |
0 |
1 |
2 |
94 |
0 |
2 |
14 |
353 |
| International asset allocation under regime switching, skew, and kurtosis preferences |
3 |
4 |
8 |
209 |
4 |
8 |
29 |
527 |
| Learning, Structural Instability, and Present Value Calculations |
0 |
0 |
0 |
50 |
0 |
2 |
4 |
272 |
| Market timing and return prediction under model instability |
2 |
3 |
5 |
273 |
2 |
4 |
13 |
673 |
| Moments of Markov switching models |
1 |
6 |
20 |
453 |
1 |
10 |
44 |
889 |
| Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts |
4 |
8 |
33 |
213 |
62 |
137 |
385 |
829 |
| OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING * |
0 |
0 |
1 |
106 |
0 |
0 |
6 |
316 |
| On the optimality of adaptive expectations: Muth revisited |
1 |
1 |
2 |
82 |
2 |
3 |
6 |
201 |
| Optimal forecast combinations under general loss functions and forecast error distributions |
1 |
4 |
11 |
173 |
6 |
13 |
36 |
511 |
| Optimal properties of exponentially weighted forecasts in the presence of different information sources |
0 |
1 |
2 |
99 |
0 |
1 |
5 |
257 |
| Option prices under Bayesian learning: implied volatility dynamics and predictive densities |
0 |
0 |
1 |
306 |
0 |
1 |
10 |
638 |
| Persistence in forecasting performance and conditional combination strategies |
1 |
3 |
28 |
305 |
4 |
13 |
74 |
703 |
| Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach |
0 |
1 |
1 |
32 |
0 |
2 |
14 |
128 |
| Predictability of Stock Returns: Robustness and Economic Significance |
4 |
7 |
32 |
994 |
4 |
10 |
68 |
1,868 |
| Predictability of stock returns and asset allocation under structural breaks |
1 |
1 |
11 |
146 |
1 |
4 |
33 |
436 |
| Present value models with feedback: Solutions, stability, bubbles, and some empirical evidence |
0 |
0 |
0 |
52 |
0 |
0 |
5 |
185 |
| Properties of equilibrium asset prices under alternative learning schemes |
0 |
0 |
0 |
115 |
0 |
0 |
14 |
269 |
| Properties of optimal forecasts under asymmetric loss and nonlinearity |
0 |
0 |
1 |
101 |
0 |
0 |
13 |
251 |
| REAL-TIME ECONOMETRICS |
0 |
0 |
0 |
61 |
0 |
4 |
12 |
174 |
| Recursive Modeling of Nonlinear Dynamics in UK Stock Returns |
0 |
0 |
0 |
84 |
0 |
0 |
2 |
226 |
| Relative Performance Evaluation Contracts and Asset Market Equilibrium |
0 |
0 |
1 |
52 |
0 |
4 |
23 |
315 |
| Reply to the discussion of Elusive Return Predictability |
0 |
0 |
0 |
25 |
0 |
0 |
5 |
71 |
| Selection of estimation window in the presence of breaks |
0 |
5 |
29 |
439 |
2 |
10 |
62 |
920 |
| Size and Value Anomalies under Regime Shifts |
0 |
0 |
1 |
92 |
0 |
0 |
7 |
221 |
| Small sample properties of forecasts from autoregressive models under structural breaks |
0 |
0 |
2 |
122 |
2 |
5 |
21 |
391 |
| Structural Breaks, Incomplete Information, and Stock Prices |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
328 |
| Term structure of risk under alternative econometric specifications |
0 |
0 |
0 |
159 |
0 |
1 |
5 |
358 |
| Testing Dependence Among Serially Correlated Multicategory Variables |
0 |
1 |
4 |
103 |
0 |
2 |
12 |
271 |
| Testing Forecast Optimality Under Unknown Loss |
0 |
1 |
1 |
70 |
2 |
6 |
10 |
178 |
| The hazards of mutual fund underperformance: A Cox regression analysis |
0 |
0 |
1 |
124 |
1 |
3 |
17 |
414 |
| Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability |
0 |
0 |
0 |
10 |
0 |
0 |
3 |
92 |
| Variable selection, estimation and inference for multi-period forecasting problems |
1 |
3 |
6 |
93 |
1 |
7 |
27 |
293 |
| Why do dividend yields forecast stock returns? |
0 |
0 |
0 |
84 |
0 |
0 |
3 |
187 |
| Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion |
1 |
3 |
17 |
123 |
2 |
12 |
52 |
345 |
| Total Journal Articles |
34 |
96 |
425 |
12,142 |
155 |
439 |
1,786 |
35,568 |
LogEc is hosted by the
Örebro University School of Business.