We evaluate stock return predictability using a fully flexible Bayesian framework, which explicitly allows for different degrees of time-variation in coefficients and in forecasting models. We believe that asset return predictability can evolve quickly or slowly, based upon market conditions,...

In a unified framework, we examine four sources of uncertainty in exchange rate forecasting models: (i) random variations in the data, (ii) estimation uncertainty, (iii) uncertainty about the degree of time-variation in coefficients, and (iv) uncertainty regarding the choice of the predictor. We...

This document contains supplementary material to the paper "On the Sources of Uncertainty in Exchange Rate Predictability". In part A we examine the ability of our models to generate economic value in a stylized asset portfolio management setting. We describe the criteria for such evaluation and...

We evaluate stock return predictability using a fully flexible Bayesian framework, which explicitly allows for different degrees of time-variation in coefficients and in forecasting models. We believe that asset return predictability can evolve quickly or slowly, based upon market conditions,...