Optimal model averaging based on forward-validation

A Comprehensive Look at The Empirical Performance of Equity Premium Prediction

Ivo Welch, Amit Goyal · Review of Financial Studies · 2007 · 4.1K citations

Business, Economics, Finance +14

Maximum Likelihood Estimation of Misspecified Models

Halbert White · Econometrica · 1982 · 4.1K citations

Business, Biostatistics, Econometrics +16

The Combination of Forecasts

John M. Bates, Clive W. J. Granger · Journal of the Operational Research Society · 1969 · 3.1K citations

Business, Meteorology, Forecasting +9

Model Selection: An Integral Part of Inference

S. T. Buckland, Kenneth P. Burnham, Nicole H. Augustin · Biometrics · 1997 · 1.7K citations

Natural Sciences, Biostatistics, Ecology +17

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

David E. Rapach, Jack Strauss, Guofu Zhou · Review of Financial Studies · 2009 · 1.7K citations

Business, Economics, Finance +17