User profiles for David E. Rapach

David Rapach

Financial Economist and Policy Adviser, Federal Reserve Bank of Atlanta
Verified email at atl.frb.org
Cited by 10518

Out-of-sample equity premium prediction: Combination forecasts and links to the real economy

DE Rapach, JK Strauss, G Zhou - The Review of Financial …, 2010 - academic.oup.com
Welch and Goyal (2008) find that numerous economic variables with in-sample predictive
ability for the equity premium fail to deliver consistent out-of-sample forecasting gains relative …

[HTML][HTML] Forecasting: theory and practice

…, DJ Pedregal, P Pinson, P Ramos, DE Rapach… - International Journal of …, 2022 - Elsevier
Forecasting has always been at the forefront of decision making and planning. The
uncertainty that surrounds the future is both exciting and challenging, with individuals and …

Forecasting the equity risk premium: the role of technical indicators

CJ Neely, DE Rapach, J Tu, G Zhou - Management science, 2014 - pubsonline.informs.org
Academic research relies extensively on macroeconomic variables to forecast the US equity
risk premium, with relatively little attention paid to the technical indicators widely employed …

International stock return predictability: What is the role of the United States?

DE Rapach, JK Strauss, G Zhou - The Journal of Finance, 2013 - Wiley Online Library
We investigate lead‐lag relationships among monthly country stock returns and identify a
leading role for the United States: lagged US returns significantly predict returns in numerous …

Short interest and aggregate stock returns

DE Rapach, MC Ringgenberg, G Zhou - Journal of Financial Economics, 2016 - Elsevier
We show that short interest is arguably the strongest known predictor of aggregate stock
returns. It outperforms a host of popular return predictors both in and out of sample, with annual …

Macro variables and international stock return predictability

DE Rapach, ME Wohar, J Rangvid - International journal of forecasting, 2005 - Elsevier
In this paper, we examine the predictability of stock returns using macroeconomic variables
in 12 industrialized countries. We consider both in-sample and out-of-sample tests of …

Testing the monetary model of exchange rate determination: new evidence from a century of data

DE Rapach, ME Wohar - Journal of International Economics, 2002 - Elsevier
We test the long-run monetary model of exchange rate determination for a collection of 14
industrialized countries using data spanning the late nineteenth or early twentieth century to …

Structural breaks and GARCH models of exchange rate volatility

DE Rapach, JK Strauss - Journal of Applied Econometrics, 2008 - Wiley Online Library
We investigate the empirical relevance of structural breaks for GARCH models of exchange
rate volatility using both in‐sample and out‐of‐sample tests. We find significant evidence of …

In-sample vs. out-of-sample tests of stock return predictability in the context of data mining

DE Rapach, ME Wohar - Journal of Empirical Finance, 2006 - Elsevier
We undertake an extensive analysis of in-sample and out-of-sample tests of stock return
predictability in an effort to better understand the nature of the empirical evidence on return …

International comovements in inflation rates and country characteristics

CJ Neely, DE Rapach - Journal of International Money and Finance, 2011 - Elsevier
Common shocks, similarities in central bank reaction functions, and international trade
potentially produce common components in international inflation rates. This paper characterizes …