|Appears in Collections:||Accounting and Finance Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Does The Macroeconomy Predict UK Asset Returns In A Nonlinear Fashion? Comprehensive Out-Of-Sample Evidence|
|Publisher:||University of Oxford and Wiley-Blackwell|
|Citation:||Guidolin M, Hyde S, McMillan D & Ono S (2014) Does The Macroeconomy Predict UK Asset Returns In A Nonlinear Fashion? Comprehensive Out-Of-Sample Evidence, Oxford Bulletin of Economics and Statistics, 76 (4), pp. 510-535.|
|Abstract:||We perform a comprehensive examination of the recursive, comparative predictive performance of linear and nonlinear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR) and smooth transition autoregressive (STR) regime switching models and a range of linear specifications including models with GARCH type specifications. Results demonstrate UK asset returns require nonlinear dynamics to be modelled with strong evidence in favour of Markov switching frameworks. Our results appear robust to the choice of sample period, changes in loss functions and to the methodology employed to test for equal predictive accuracy. The key findings extend to a similar sample of US data.|
|Rights:||The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.|
|Affiliation:||Manchester Business School|
Manchester Business School
Accounting and Finance
University of York
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