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Non‐linear Predictability of UK Stock Market Returns. (2003). McMillan, David G..
In: Oxford Bulletin of Economics and Statistics.
RePEc:bla:obuest:v:65:y:2003:i:5:p:557-573.

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  2. Nonlinearities and Chaos: A New Analysis of CEE Stock Markets. (2021). Tiwari, Aviral ; Kyophilavong, Phouphet ; Albulescu, Claudiu.
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  3. Statistics and Practice on the Trend’s Reversal and Turning Points of Chinese Stock Indices Based on Gann’s Time Theory and Solar Terms Effect. (2021). Li, Xinghao ; Zhou, Tianbao ; Wang, Peng.
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  4. Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?. (2021). Boughrara, Adel ; Slim, Skander ; Dahmene, Meriam.
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  5. The roles of political risk and crude oil in stock market based on quantile cointegration approach: A comparative study in China and US. (2021). Li, jianping ; Fatemian, Farhad ; Guo, Yawei ; You, Wanhai.
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  24. Level shifts in stock returns driven by large shocks. (2014). Tzavalis, Elias ; Kapetanios, George ; Dendramis, Yiannis.
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  4. Markov Switching Models in Empirical Finance. (2011). Guidolin, Massimo.
    In: Working Papers.
    RePEc:igi:igierp:415.

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  5. Trade openness and the informational efficiency of emerging stock markets. (2011). Lim, Kian-Ping ; Kim, Jae.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:5:p:2228-2238.

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  6. Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence. (2010). Hyde, Stuart ; Guidolin, Massimo ; Ono, Sadayuki ; McMillan, David.
    In: Working Papers.
    RePEc:fip:fedlwp:2010-039.

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  7. Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective. (2010). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2010-002.

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  8. Market efficiency and learning in an artificial stock market: A perspective from Neo-Austrian economics. (2010). Pardo, Juan Pablo ; Gordillo, Jose Luis ; Benink, Harald A. ; Stephens, Christopher R..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:4:p:668-688.

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  9. Predictability of Asset Returns and the Efficient Market Hypothesis. (2010). Pesaran, Mohammad.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3116.

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  10. Predictive Content of Output and Inflation For Stock Returns and Volatility: Evidence from Selected Asian Countries. (2009). Habibullah, Muzafar Shah ; Abdul Hamid, Baharom ; Fong, Kin Hing ; Baharom, A. H..
    In: MPRA Paper.
    RePEc:pra:mprapa:14114.

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  11. The Information Content of the NCREIF Index. (2009). Li, Jinliang ; Yang, Shiawee X. ; Mooradian, Robert M..
    In: Journal of Real Estate Research.
    RePEc:jre:issued:v:31:n:1:2009:p:93-116.

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  12. Non-linear predictability in stock and bond returns: when and where is it exploitable?. (2009). Hyde, Stuart ; Guidolin, Massimo ; Ono, Sadayuki ; McMillan, David.
    In: Working Papers.
    RePEc:fip:fedlwp:2008-010.

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  13. The impact of macroeconomic indicators on Vietnamese stock prices. (2009). Ngoc, Le Khanh ; Hussainey, Khaled.
    In: Journal of Risk Finance.
    RePEc:eme:jrfpps:v:10:y:2009:i:4:p:321-332.

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  14. Stock Picking via Nonsymmetrically Pruned Binary Decision Trees. (2008). Andriyashin, Anton.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2008-035.

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  15. FORECASTING MARKET CRASHES: DOES DENSITY SPECIFICATION MATTER?. (2008). Perote, Javier ; DEL BRIO, ESTHER.
    In: Applied Econometrics and International Development.
    RePEc:eaa:aeinde:v:8:y:2008:i:1_4.

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  16. ENERGY–GDP RELATIONSHIP: A CAUSAL ANALYSIS FOR THE FIVE COUNTRIES OF SOUTH ASIA. (2008). Asghar, Zahid.
    In: Applied Econometrics and International Development.
    RePEc:eaa:aeinde:v:8:y:2008:i:1_14.

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  17. Asset pricing and predictability of stock returns in the french market. (2007). Ellouz, Siwar ; Bellalah, Mondher.
    In: MPRA Paper.
    RePEc:pra:mprapa:4961.

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  18. Non-linear forecasting of stock returns: Does volume help?. (2007). McMillan, David G..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:23:y:2007:i:1:p:115-126.

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  19. Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century. (2006). VAN HYFTE, W. ; Annaert, J..
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:06/376.

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  20. Momentum and mean reversion across national equity markets. (2006). Wu, Yangru ; Balvers, Ronald.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:13:y:2006:i:1:p:24-48.

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  21. Time variation in the cointegrating relationship between stock prices and economic activity. (2005). McMillan, David.
    In: International Review of Applied Economics.
    RePEc:taf:irapec:v:19:y:2005:i:3:p:359-368.

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  22. Are the dynamic linkages between the macroeconomy and asset prices time-varying?. (2005). Guidolin, Massimo ; Ono, Sadayuki.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-056.

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  23. External habit and the cyclicality of expected stock returns. (2005). Zhang, Harold ; Tallarini, Thomas.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-27.

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  24. Macro variables and international stock return predictability. (2005). Wohar, Mark ; Rangvid, Jesper ; Rapach, David E..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:21:y:2005:i:1:p:137-166.

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  25. A Study of Neo-Austrian Economics using an Artificial Stock Market. (2004). Pardo-Guerra, Juan Pablo ; Gordillo, Jose Luis ; Benink, Harald A. ; Stephens, Christopher R..
    In: Finance.
    RePEc:wpa:wuwpfi:0411038.

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  26. Non-linear predictability of UK stock market returns. (2004). McMillan, David.
    In: Money Macro and Finance (MMF) Research Group Conference 2003.
    RePEc:mmf:mmfc03:63.

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  27. Financial asset returns, direction-of-change forecasting, and volatility dynamics. (2003). Diebold, Francis ; Christoffersen, Peter F..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200408.

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  28. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2003). Diebold, Francis.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:04-009.

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  29. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2003). Diebold, Francis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10009.

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  30. Mean Reversion on Global Stock Markets. (2002). Drobetz, Wolfgang ; Wegmann, Patrick.
    In: Swiss Journal of Economics and Statistics (SJES).
    RePEc:ses:arsjes:2002-iii-1.

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  31. THE CONSUMPTION-WEALTH AND BOOK-TO-MARKET RATIOS IN A DYNAMIC ASSET PRICING CONTEXT. (2002). Rodriguez-Barrera, Rosa ; Nieto, Belen.
    In: Working Papers. Serie EC.
    RePEc:ivi:wpasec:2002-24.

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  32. Basel II and the German credit crunch?. (2002). Armonat, Stefan ; Pfnur, Andreas.
    In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
    RePEc:dar:wpaper:35585.

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  33. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-02.

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  34. Predicting returns and changes in real activity: evidence from emerging economies. (2001). Rangvid, Jesper.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:2:y:2001:i:4:p:309-329.

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  35. Volatility and stock prices: implications from a production model of asset pricing. (2001). Basu, Parantap ; Samanta, Prodyot.
    In: Economics Letters.
    RePEc:eee:ecolet:v:70:y:2001:i:2:p:229-235.

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  36. An Investment-Growth Asset Pricing Model. (2001). Xing, Yuhang ; Li, Qing ; Vassalou, Maria .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3058.

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  37. Monetary Policy and the Stock Market: Theory and Empirical Evidence. (2001). Sellin, Peter.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:15:y:2001:i:4:p:491-541.

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  38. Stock returns and economic activity: the UK case. (2000). Parikh, Ashok.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:6:y:2000:i:3:p:280-297.

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  39. Efficient gradualism in intertemporal portfolios. (2000). Balvers, Ronald ; Mitchell, Douglas W..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:24:y:2000:i:1:p:21-38.

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  40. Personal taxes and the time variation of stock returns - evidence from the UK. (1999). Kwan, Sabrina ; Brealey, Richard A..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:23:y:1999:i:11:p:1557-1577.

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  41. Economic and Statistical Measures of Forecast Accuracy. (1999). Pesaran, Mohammad.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:9910.

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  42. Real Interest Regimes and Real Estate Performance: A Comparison of UK and US Markets. (1998). Worzala, Elaine ; Lizieri, Colin ; Satchell, Steven ; Dacco, Roberto.
    In: Journal of Real Estate Research.
    RePEc:jre:issued:v:16:n:3:1998:p:339-356.

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  43. Mercado Accionario y Crecimiento Económico en Chile. (1998). Walker, Eduardo.
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:35:y:1998:i:104:p:49-72.

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  44. Monetary Policy and the Stock Market: Theory and Empirical Evidence. (1998). Sellin, Peter.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0072.

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  45. A note on GARCH predictable variances and stock market efficiency. (1995). Schwaiger, Walter S. A., .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:19:y:1995:i:5:p:949-953.

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  46. Expected stock returns, real business activity and consumption smoothing. (1995). Peng, Yajun ; Shawky, Hany.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:4:y:1995:i:2-3:p:143-154.

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  47. Stock returns and real activity: A structural approach. (1995). Canova, Fabio ; de Nicolo, Gianni.
    In: European Economic Review.
    RePEc:eee:eecrev:v:39:y:1995:i:5:p:981-1015.

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  48. Risk aversion, multivariate proxies and the behavior of asset returns. (1994). Nummelin, Kim .
    In: Finnish Economic Papers.
    RePEc:fep:journl:v:7:y:1994:i:2:p:94-107.

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  49. Equilibrium Asset Pricing Models and Predictability of Excess Returns. (1993). Potter, Simon ; Pesaran, Mohammad.
    In: UCLA Economics Working Papers.
    RePEc:cla:uclawp:694.

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  50. Asset Allocation and Predictability of Real Estate Returns. (1992). Bharati, Rakesh ; Gupta, Manoj.
    In: Journal of Real Estate Research.
    RePEc:jre:issued:v:7:n:4:1992:p:469-484.

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