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 …

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 …

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 …

Given the marked differences in housing price growth across US regions since the mid-1990s,
we investigate forecasts of state-level real housing price growth for 1995–2006. We …

We examine the role of structural breaks in forecasting stock return volatility. We begin by
testing for structural breaks in the unconditional variance of daily returns for the S&P 500 …

We use machine learning tools to analyze industry return predictability based on the
information in lagged industry returns from across the entire economy. Controlling for post-selection …

… Rapach is an associate professor of economics and Jack K. Strauss is the Simon Professor
of Economics at Saint Louis University. The authors acknowledge financial support from the …

Forecasting a macroeconomic variable is challenging in an environment with many potential
predictors whose predictive ability can vary over time. We compare two approaches to …

We examine different approaches to forecasting monthly US employment growth in the
presence of many potentially relevant predictors. We first generate simulated out‐of‐sample …

The authors analyze out-of-sample return predictability for components of the aggregate
market, focusing on the well-known Farm-French size/value-sorted portfolios. Employing a …