User profiles for David E. Rapach
David RapachFinancial 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
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 …
ability for the equity premium fail to deliver consistent out-of-sample forecasting gains relative …
[HTML][HTML] Forecasting: theory and practice
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 …
uncertainty that surrounds the future is both exciting and challenging, with individuals and …
Forecasting the equity risk premium: the role of technical indicators
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 …
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?
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 …
leading role for the United States: lagged US returns significantly predict returns in numerous …
Short interest and aggregate stock returns
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 …
returns. It outperforms a host of popular return predictors both in and out of sample, with annual …
Macro variables and international stock return predictability
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 …
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
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 …
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 …
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
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 …
predictability in an effort to better understand the nature of the empirical evidence on return …
International comovements in inflation rates and country characteristics
Common shocks, similarities in central bank reaction functions, and international trade
potentially produce common components in international inflation rates. This paper characterizes …
potentially produce common components in international inflation rates. This paper characterizes …