Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/50661 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
Manchester Business School Working Paper No. 607
Verlag: 
The University of Manchester, Manchester Business School, Manchester
Zusammenfassung: 
We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear 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 in addition to univariate models in which conditional heteroskedasticity is captured by GARCH type specifications and in which predicted volatilities appear in the conditional mean. The results demonstrate that U.K. asset returns require non-linear dynamics be modeled. In particular, the evidence in favour of adopting a Markov switching framework is strong. Our results appear robust to the choice of sample period, changes in the adopted loss function and to the methodology employed to test the null hypothesis of equal predictive accuracy across competing models.
Schlagwörter: 
regime switching
threshold
smooth transition
predictive regressions
forecasting
JEL: 
C53
E44
G12
C32
Dokumentart: 
Working Paper

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