Non-linear predictability in stock and bond returns: When and where is it exploitable?

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

James D. Hamilton · Econometrica · 1989 · 9.5K citations

Mean Growth Rate, Tractable Approach, Macroeconomic Forecasting +17

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Empirical Finance, Economics, Financial Economics +12

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Francis X. Diebold, Roberto S. Mariano · Journal of Business and Economic Statistics · 1995 · 4.5K citations

Forecasting Methodology, Engineering, Machine Learning +22

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Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1988 · 3.7K citations

Financial Economics, Asset Pricing, Business +4