Course Related Materials
Project for the Semester: Click Here
(A) Linear Predictive Regressions (Reference: (i) Lecture 1.)
Journal Article(s):
(1) Valuation ratios and long-horizon stock price predictability (David E. Rapach and Mark E. Wohar)
(2) Macro variables and international stock return predictability (David E. Rapach, Mark E. Wohar and Jesper Rangvid)
(3) In-sample vs. out-of-sample tests of stock return predictability in the context of data mining (David E. Rapach and Mark E. Wohar)
(4) A Comprehensive Look at the Empirical Performance of Equity Premium Prediction (Ivo Welch and Amit Goyal)
(5) Forecasting Stock Returns (David E. Rapach and Guofu Zhou)
(6) Asymptotics for out of sample tests of Granger causality (Michael W. McCracken)
For Practicals: Data and Workfile
(B) Nonlinear Predictive Regressions (Reference: (i) Lecture 2.)
Journal Article(s):
(1) Non-linear predictability in stock and bond returns: When and where is it exploitable? (Massimo Guidolin, Stuart Hyde, David McMillan and Sadayuki Ono)
(2) A quantile regression approach to equity premium prediction (Loukia Meligkotsidou, Ekaterini Panopoulou, Ioannis D. Vrontos and Spyridon D. Vrontos)
(C) Volatility Models (Reference: (i) Lecture 3.)
Journal Article(s):
(1) Structural breaks and GARCH models of exchange rate volatility (David E. Rapach and Jack. K. Strauss)
(2) Forecasting stock return volatility in the presence of structural breaks (David E. Rapach, Jack. K. Strauss and Mark E. Wohar)
Contact Details:
Room 2-04, Tukkiewerf Building, Department of Economics,
University of Pretoria,
Pretoria 0002, South Africa.
Email: Rangan dot Gupta () up () ac () za.