The Economic Value of Predicting Stock Index Returns and Volatility

By Ohxyhq Pduqr Yhuehhn. Journal of Financial and Quantitative Analysis, 2001

227 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/bd5119c74d7e85a4914a56d43c8354b9a4ba8b6e

Citations in the corpus

• Evaluating Volatility and Correlation Forecasts (2009, unknown): “Applications of volatility forecasts in portfolio decisions are have been widely explored (see [59, 27, 46, 32], amongst others).”
• Does the choice of estimator matter when forecasting returns (2012, unknown): “Our approach is similar to the one of Rapach et al. (2010), Campbell and Thompson (2008), and Marquering and Verbeek (2004).”
• Asset Allocation With a High Dimensional Latent Factor Stochastic Volatility Model (2006, unknown): “…literature.4 Only a handful of studies examine the asset allocation problem and allow the first two moments to vary over time – for example, Marquering and Verbeek (2001), Johannes, Polson, and Stroud (2002), Gomes (2002), and Han (2004) – but the methodology of these studies is limited…”
• Predicting market returns using aggregate implied cost of capital (2013, unknown): “, Marquering and Verbeek (2004), Campbell and Thompson (2008), Welch and Goyal (2008), Wachter”
• Modeling the conditional covariance between stock and bond returns : A multivariate GARCH approach (2004, unknown): “Studies that explicitly examines the economic significance of volatility timing are, for example, Fleming, Kirby and Ostdiek (2001), Marquering and Verbeek (2004) and Patton (2004).”
• Instability of Return Prediction Models (2006, unknown): “Bossaerts and Hillion (1999) find that stock returns on a range of US and international portfolios are largely unpredictable during an outof-sample period (1990–95), while Cooper, Gutierrez and Marcum (2005) conclude that the relative returns on portfolios of stocks sorted on firm size, book-to-mark”
• Disappearing anomalies: a dynamic analysis of the persistence of anomalies (2006, unknown): “Similarly, a recent study by Marquering and Verbeek (2004) showed that the return predictability using macroeconomic variables like inflation, industrial production, money supply and interest rates seemed to have disappeared immediately after the benchmark study in this field appeared.”
• Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables (2012, unknown): “To determine whether standard asymptotic results are likely to provide reasonable guidance, I report results for the unit root test suggested by Phillips and Perron (1998). The test rejects the null hypothesis of a unit root for most variables.”
• VOLATILITY AND CORRELATION FORECASTING (2006, unknown): “Campbell (1987, 2003), Shanken (1990), Aït-Sahalia and Brandt (2001), Harvey (2001), Lettau and Ludvigsson (2003) and Marquering and Verbeek (2004) find that interest rate spreads and financial ratios help predict volatility at longer horizons.”