and autocorrelation of error. The marginal forecast errors tend to increase, and the correlations between predictions and …

forecasting movements in short-term interest rates. For brief forecast intervals, however, ex ante changes in long-term rates are …

not observed at the time that the forecast is made--but can nonetheless improve forecasting accuracy by reducing parameter … of forecasting excess bond and equity returns. We find substantial improvements in out-of-sample forecast accuracy for …

premium. We use this simple observation to forecast the equity-premium time series with the cross-sectional price of risk. We … cross section. The slope of the relation is the cross-sectional price of risk, which should equal the expected equity … are potentially correlated with return shocks. Our empirical tests show that the cross-sectional price of risk (1) is …

and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic … volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically … the large covariance matrices relevant in asset pricing, asset allocation and financial risk management applications …

approximating strict inflation-forecast targeting are likely to have undesirable properties. We also show that economies with more … general forecast-based policy rules are particularly susceptible to indeterminacy of rational expectations equilibria. We …

environment, leading to real-time forecast improvements relative to other methods of density forecast combination, such as …