The Economic Value of Predicting Stock Index Returns and Volatility

By W. Marquering, Marno Verbeek. Journal of Financial and Quantitative Analysis, 2001

122 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management of Technology and Innovation

View Paper: https://www.semanticscholar.org/paper/48346548243e9a35ac191a0390a807e56b845f21

Citations in the corpus

• An Economic Evaluation of Empirical Exchange Rate Models (2009, unknown): “…the economic value of predictability, building on empirical studies of volatility timing in stock returns by Fleming, Kirby, and Ostdiek (2001) and Marquering and Verbeek (2004).2 Ultimately, we measure how much a risk averse investor is willing to pay for switching from a dynamic portfolio…”
• Complete subset regressions (2013, unknown): “Following Marquering and Verbeek (2004), the investor’s expost realized utility is”
• Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014, unknown): “Clearly, when R(2)OS > 0, the competing forecast outperforms the historical average benchmark in terms of MSFE. We employ the Clark and West (2007) MSFE-adjusted statistic to test the null hypothesis that the competing model MSFE is greater than or equal to the historical average MSFE against the on”