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 …

correlation may arise when other persistent variables are used to forecast changes in the exchange rate. We find, in fact, using … asymptotic statistics, the level of the exchange rate provides better forecasts than economic measures of "global risk", and the … measures of global risk do not improve the (possibly spurious) forecasting power of the level of the exchange rate …

Financial markets play two roles with implications for the exchange rate: they accommodate risk sharing and act as a … markets can accommodate a significant extent of international risk sharing without leading to the classic exchange rate …

aligns with extant measures of disagreement (e.g., analyst forecast dispersion), but is a significantly stronger predictor of … disagreement and future returns. A decile spread portfolio that is short stocks with high forecast disagreement and long stocks …

' expectations of economic activity as well as the surge in aggregate risk aversion. In the following months however, whereas …-variables can be partially explained by other factors, namely the decline in risk-free interest rates, and, for the US, the strong … profitability of the IT sector. As a result, an econometrician trying to forecast economic activity with aggregate stock market …

When available financial securities allow investors to optimally diversify risk across countries, standard theory …