Guidolin, Massimo (contributor); … - 2007 - Rev.
.S. small caps have experienced an unprecedented performance in the
first part of our sample, from January 1999 to June 2001 … shift next period.
3
strategy based on the in- and out-of-sample performance, and gives econometric estimates. Section 5 … the number of parameters and often
gives improved performance in forecasting applications.
7
of a two-step approach …