A Recursive Modelling Approach to Predicting UK Stock Returns

By M. Pesaran, Allan G. Timmermann. 2000

252 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/30e394480366a0f493e76c40d0ebf269d8cb770f

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Citations in the corpus

Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan (2009, unknown): “As suggested by Chen, Roll and Ross (1986), the selection of relevant macroeconomic variables requires judgement and we draw upon both on existing theory and existing empirical evidence. Theory suggests, and many authors find, that corporate cash flows are related to a measure of aggregate output su”
Risk sensitive asset allocation (2000, background): “In a more recent paper, Pesaran and Timmermann (1998) extended and generalized their "rst paper's recursive modeling strategy.”
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? (2009, methodology): “Estimation of all candidate models may be carried out by ordinary least squares (OLS) see Pesaran and Timmermann (1995, 2000).”
Market timing and return prediction under model instability (2002, background): “Studies that allow the regression model (but not the window size) to change over time include Pesaran and Timmermann (1995,2000) and Perez-Quiros and Timmermann (2000).”
Elusive Return Predictability (2008, background): “Pesaran and Timmermann (1995, 2000) and Swanson and White (1995) use model selection methods recursively over time to select the forecasting model that optimizes a penalized likelihood function.”
Model Uncertainty, Thick Modelling and the Predictability of Stock Returns (2005, unknown): “The results obtained for the USA are successfully replicated in a recent paper concentrating on the UK evidence (Pesaran and Timmermann, 2000).”
Forecast combination and the Bank of England’s suite of statistical forecasting models (2008, unknown): “Stock and Watson (2002) suggested using standard models in a forecast context, and their method is simple to implement, works relatively well in practice and is straightforward to interpret. Stock and Watson (2002) apply this and other methods to US in ation.”
Momentum and mean reversion across national equity markets (2006, methodology): “We utilize the decomposition into permanent and transitory components from Fama and French (1988) and employ a parametric approach, as in Jegadeesh (1990), Pesaran and Timmermann (1995, 2000), and Balvers et al. (2000).”