D. Rapach

发表

The Source of Long Memory in Financial Market Volatility

C. Granger, M. Wohar, S. Poon, 2007 .

Testing the monetary model of exchange rate determination: a closer look at panels

David E. Rapach, Mark E. Wohar, M. Wohar, 2004 .

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

David E. Rapach, Mark E. Wohar, M. Wohar, 2002 .

Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence ☆

David E. Rapach, Mark E. Wohar, M. Wohar, 2009 .

Macro variables and international stock return predictability

M. Wohar, D. Rapach, Jesper Rangvid, 2005 .

Forecasting Stock Returns

Guofu Zhou, D. Rapach, 2013 .

Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

Guofu Zhou, D. Rapach, Jack Strauss, 2009 .

Forecasting US employment growth using forecast combining methods

David E. Rapach, Jack Strauss, D. Rapach, 2008 .

Bagging or Combining (or Both)? An Analysis Based on Forecasting U.S. Employment Growth

David E. Rapach, D. Rapach, Jack Strauss, 2010 .

Forecasting US state-level employment growth: An amalgamation approach

David E. Rapach, Jack Strauss, D. Rapach, 2012 .

Short Interest and Aggregate Stock Returns

Guofu Zhou, Guofu Zhou, D. Rapach, 2016 .

International Stock Return Predictability: What Is the Role of the United States?: International Stock Return Predictability

David E. Rapach, Guofu Zhou, Jack Strauss, 2013 .

International Stock Return Predictability: What is the Role of the United States?

Guofu Zhou, Jack Strauss, Guofu Zhou, 2010 .

Forecasting Employment Growth in Missouri with Many Potentially Relevant Predictors: An Analysis of Forecast Combining Methods

David E. Rapach, Jack Strauss, D. Rapach, 2005 .

Metro Business Cycles

David E. Rapach, D. Rapach, Charles S. Gascon, 2014 .

Are real interest rates really nonstationary? New evidence from tests with good size and power

David E. Rapach, Christian E. Weber, D. Rapach, 2004 .

International Evidence on the Long-Run Impact of Inflation

David E. Rapach, D. Rapach, 2003 .

Estimating Risk Premia in DSGE Models with Stochastic Volatility

D. Rapach, 2019 .

Bayesian Estimation of Macro-Finance DSGE Models with Stochastic Volatility

D. Rapach, Fei Tan, 2020, SSRN Electronic Journal.

International Comovements in Inflation Rates and Country Characteristics

Christopher J. Neely, D. Rapach, 2011 .

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

David E. Rapach, Mark E. Wohar, M. Wohar, 2006 .

An intra-week efficiency analysis of bookie-quoted NFL betting lines in NYC ☆

D. Rapach, T. W. Miller, 2013 .

Forecasting: theory and practice

Fotios Petropoulos, Nikolaos Kourentzes, Daniele Apiletti, 2020, International Journal of Forecasting.

Portfolio Structuring and the Value of Forecasting

P. Tetlock, Andrew Ang, D. Rapach, 2016 .

Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio

Mark P. Taylor, Guofu Zhou, D. Rapach, 2020 .

Industry Return Predictability: A Machine Learning Approach

Guofu Zhou, Jun Tu, D. Rapach, 2019, The Journal of Financial Data Science.

Differences in housing price forecastability across US states

David E. Rapach, Jack Strauss, D. Rapach, 2009 .

The Anatomy of Out-of-Sample Forecasting Accuracy

Erik Christian Montes Schütte, Philippe Goulet Coulombe, D. Rapach, 2022, SSRN Electronic Journal.

Mixed-Frequency Machine Learning: Now- and Backcasting Weekly Initial Claims with Daily Internet Search-Volume Data

Erik Christian Montes Schütte, D. Rapach, Daniel D. Borup, 2021, International Journal of Forecasting.

Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data

David E. Rapach, Erik Christian Montes Schütte, Daniel Borup, 2020 .

Exchange Rate Prediction with Machine Learning and a Smart Carry Portfolio

Mark P. Taylor, Ilias Filippou, David E. Rapach, 2020, SSRN Electronic Journal.

Real Interest Rate Persistence: Evidence and Implications

Christopher J. Neely, D. Rapach, 2008 .

Boosting Cryptocurrency Return Prediction

D. Rapach, I. Filippou, Christoffer Thimsen, 2021, SSRN Electronic Journal.

Industry Return Predictability: A Machine Learning Approach

David E. Rapach, Guofu Zhou, Jack Strauss, 2019, The Journal of Financial Data Science.

Forecasting Stock Return Volatility in the Presence of Structural Breaks

M. Wohar, D. Rapach, Jack Strauss, 2008 .

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Guofu Zhou, Jun Tu, David E. Rapach, 2011, Manag. Sci..

The Long-Run Relationship Between Consumption and Housing Wealth in the Eighth District States

D. Rapach, Jack Strauss, 2006 .

Forecasting the recent behavior of US business fixed investment spending: an analysis of competing models

M. Wohar, D. Rapach, 2007 .

Forecasting U . S . Business Fixed Investment Spending

D. Rapach, 2004 .

How Predictable are Components of the Aggregate Market Portfolio

Guofu Zhou, D. Rapach, Jack Strauss, 2009 .

Out-of-Sample Equity Premium Prediction : Consistently Beating the Historical Average

Michael W. McCracken, R. Jagannathan, Guofu Zhou, 2008 .

Predicting the Equity Premium: The Advantages of Combination Forecasts

Guofu Zhou, D. Rapach, Jack Strauss, 2008 .

Structural Change and the Predictability of Stock Returns

D. Rapach, 2002 .

Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon?

M. Wohar, D. Rapach, 2005 .

Asset Pricing: Time-Series Predictability

Guofu Zhou, D. Rapach, 2021, SSRN Electronic Journal.

Which Hedge Fund Styles Hedge Against Bad Times?

Guofu Zhou, C. Cao, D. Rapach, 2015 .

Macro Shocks and Fluctuations

D. Rapach, 1998 .

Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns

M. Wohar, D. Rapach, 2006 .

Anomalies and the Expected Market Return

Yan Li, Guofu Zhou, Xi Dong, 2020, SSRN Electronic Journal.

The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior

David E. Rapach, Mark E. Wohar, M. Wohar, 2006 .

Out-of-Sample Industry Return Predictability: Evidence from A Large Number of Predictors

Guofu Zhou, Jun Tu, D. Rapach, 2011 .

Out-of-Sample Equity Premium Prediction: Fundamental vs. Technical Analysis

Christopher J. Neely, Guofu Zhou, D. Rapach, 2010 .

Out-of-Sample Equity Premium Prediction: Economic Fundamentals Vs. Moving-Average Rules

Christopher J. Neely, Guofu Zhou, Jun Tu, 2010 .

Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence

M. Wohar, D. Rapach, 2005 .

Valuation ratios and long-horizon stock price predictability

David E. Rapach, Mark E. Wohar, M. Wohar, 2005 .

Financial Variables and the Predictability of Stock and Bond Returns : An Out-of-Sample Analysis

D. Rapach, 2002 .

Financial Variables and the Simulated Out‐of‐Sample Forecastability of U.S. Output Growth Since 1985: An Encompassing Approach

Christian E. Weber, D. Rapach, 2004 .

Monetary Shocks and Relative Farm Prices: A Re‐Examination

Alan G. Isaac, D. Rapach, 1997 .

Monetary Shocks and Real Farm Prices: A Re-Examination

Alan G. Isaac, D. Rapach, 1996 .

Structural breaks and GARCH models of exchange rate volatility

David E. Rapach, Jack Strauss, D. Rapach, 2008 .

What Firm Characteristics Drive US Stock Returns?

Yufeng Han, Guofu Zhou, Guofu Zhou, 2018 .

Sparse Macro Factors

David E. Rapach, Guofu Zhou, Guofu Zhou, 2019 .

Predicting Market Components Out of Sample: Asset Allocation Implications

Guofu Zhou, D. Rapach, Jack Strauss, 2011, The Journal of Portfolio Management.

Forecasting real housing price growth in the Eighth District states

David E. Rapach, Jack Strauss, D. Rapach, 2007 .

Return Predictability and Dynamic Asset Allocation: How Often Should Investors Rebalance?

David E. Rapach, Anil Suri, Himanshu Almadi, 2014, The Journal of Portfolio Management.

Industry Interdependencies and Cross-Industry Return Predictability

Guofu Zhou, Jun Tu, D. Rapach, 2015 .

Common Fluctuations in OECD Budget Balances

Christopher J. Neely, D. Rapach, 2009 .

Is inflation an international phenomenon

Christopher J. Neely, D. Rapach, 2008 .

Industry return predictability : Does it matter out of sample ? 1

D. Rapach, 2010 .

States and the Business Cycle

Michael T. Owyang, D. Rapach, H. Wall, 2008 .

International Stock Return Predictability: What is the Role of the United States?

Guofu Zhou, D. Rapach, Jack Strauss, 2012 .

Evaluating Long – Horizon Forecasts ∗

Todd E. Clark, Michael W. McCracken, L. Kilian, 2004 .

Metro Business Cycles

D. Rapach, Charles S. Gascon, M. Arias, 2014 .

Federal Reserve Bank of St. Louis

Michael T. Owyang, D. Rapach, Howard J Wall, 1601 .

Deviations from the Law of One Price Across Cities: Testing for a Border Effect in Persistence and Volatility

D. Rapach, 2005 .

The Persistence in Deviations from the Law of One Price

D. Rapach, 2003 .

Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

Guofu Zhou, D. Rapach, Jack Strauss, 2009 .

Identifying Technology Shocks in the Frequency Domain

Michael T. Owyang, D. Rapach, Howard J Wall, 2010 .

The long-run relationship between inflation and real stock prices

D. Rapach, 2002 .

Are Real GDP Levels Nonstationary? Evidence from Panel Data Tests

D. Rapach, 2002 .

Expected Stock Returns and Firm Characteristics: E-LASSO, Assessment, and Implications

Guofu Zhou, D. Rapach, Yufeng Han, 2021 .

Firm Characteristics and Expected Stock Returns

David E. Rapach, Guofu Zhou, Yufeng Han, 2019 .

Time-Series and Cross-Sectional Stock Return Forecasting: New Machine Learning Methods

Guofu Zhou, Guofu Zhou, D. Rapach, 2019, Machine Learning for Asset Management.

States and the Business Cycle

Michael T. Owyang, D. Rapach, Howard J. Wall, 2008 .