The main goal of this article is to provide an answer to the question: does anything forecast
exchange rates, and if so, which variables? It is well known that exchange rate fluctuations …

This chapter surveys recent developments in the evaluation of point forecasts. Taking West's
(2006) survey as a starting point, we briefly cover the state of the literature as of the time of …

In this paper, we use two prevailing shrinkage methods, the lasso and elastic net, to predict
oil price returns with a large set of predictors. The out-of-sample results indicate that the …

Motivated by the importance of geopolitical risk and its possible predictive power for oil
volatility, this paper aims to quantitatively investigate the role of geopolitical risk (GPR) …

This paper constructs a manager sentiment index based on the aggregated textual tone of
corporate financial disclosures. We find that manager sentiment is a strong negative …

We propose a new investor sentiment index that is aligned with the purpose of predicting the
aggregate stock market. By eliminating a common noise component in sentiment proxies …

Using a textual analysis based geopolitical risk (GPR) index, this paper exploits the effects of
geopolitical risk uncertainty on oil futures price volatility within a mixed data sampling …

This study investigates the effectiveness of sparse regression models with their diverse
specifications and the impulse indicator saturation (IIS) method in forecasting crude oil …

In this study, we examine the long-term predictive role of the global financial stress index
(GFSI) on equity market volatility and provide a comprehensive analysis using GFSI for the …

We survey the literature on stock return forecasting, highlighting the challenges faced by
forecasters as well as strategies for improving return forecasts. We focus on US equity …