out-of-sample predictability

Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
In this paper, we develop a novel, intuitive and objective measure of time-varying parameter uncertainty (PU) based on a simple statistical test.
PDF Cite Poster DOI University of Konstanz (Germany) Frontiers of Factor Investing 2020 Cologne Colloquium on Financial Markets 2020 Asset Allocation under Parameter Uncertainty 2017 Workshop of the AWG 2017 DGF 2017 FMA Europe 2017 Australasian Finance & Banking 2016 SFA 2015 World Finance 2015 UBC Sauder (Vancouver) HSG (St. Gallen)
Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns
In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns.
Preprint PDF Cite DOI REVIEW OF FINANCIAL ECONOMICS SGF 2017
Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns
The Economic Benefit of Forecasting Market Components for Mean-Variance Investors
Do forecasting errors from direct predictions of market components out-way the additional errors introduced by an intermediary asset pricing model?
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