In this paper we study the economic value and statistical significance of asset return predictability, based on a wide range of commonly used predictive variables. We assess the performance of dynamic, unconditionally efficient strategies, first studied by Hansen and Richard (<xref>1987</xref>) and Ferson...

We examine an impartant aspect of emprical estimation of term structure models; the role of conditioning information in dynamic term structure models. The use of both real world or simulated data implicitly incorporates conditioning information. We examine the bias created in estimating the...