Non-linear predictability in stock and bond returns: When and where is it exploitable?

International Journal of Forecasting

Volumn 25, Issue 2, 2009, Pages 373-399

  Guidolin, Massimo ^a,b   Hyde, Stuart ^a   McMillan, David ^c   Ono, Sadayuki ^d  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

^b FEDERAL RESERVE BANK OF ST LOUIS   (United States)

^c UNIVERSITY OF ST ANDREWS   (United Kingdom)

^d UNIVERSITY OF YORK   (United Kingdom)

Author keywords

Forecasting; Non linearities; Regime switching; Threshold predictive regressions

Indexed keywords

EID: 61849131143     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2009.01.002     Document Type: Article

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