Can commodity returns forecast Canadian sector stock returns?

Can commodity returns forecast Canadian sector stock returns?

© 2015 Elsevier Inc. Using a wide range of commodities, we provide some evidence that commodity returns can forecast eight Canadian sector equity returns out-of-sample. In particular, there is some evidence that the recently developed bagging method can improve forecast accuracy relative to the benc...

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Bibliographic Details
Main Authors: Steven J. Jordan, Andrew Vivian, Mark Wohar
Format: Default Article
Published: 2015
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Return forecasting
Commodities
Transaction costs
Forecast combinations
Canada
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/21584
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https://hdl.handle.net/2134/21584

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