Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers
提出一个向量均衡修正模型，利用期货市场信息、制度转换和国际溢出效应来建模和预测股票收益，发现该模型在样本内表现优于其他模型，但在样本外点预测上优势不显著，而在市场时机把握和密度预测方面有显著改进。
Abstract This paper proposes a vector equilibrium correction model of stock returns that exploits the information in the futures market, while allowing for both regime‐switching behaviour and international spillovers across stock market indices. Using data for three major stock market indices since 1989, we find that: (i) in sample, our model outperforms several alternative models on the basis of standard statistical criteria; (ii) in out‐of‐sample forecasting, our model does not produce significant gains in terms of point forecasts relative to more parsimonious alternative specifications, but it does so both in terms of market timing ability and in density forecasting performance. The economic value of the density forecasts is illustrated with an application to a simple risk management exercise. Copyright © 2005 John Wiley & Sons, Ltd.