We propose forecasting separately the three components of stock market returns: dividend yield, earnings growth, and …

problem. Although the conventional t-test is invalid for the dividend-price and smoothed earnings-price ratios, our test finds …

influence the exchange rates and relative equity prices. In the estimation of the VAR system we do not impose any causal …

reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and …

We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the … specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use … data, we find that daily realized power (involving 5-minute absolute returns) is the best predictor of future volatility …

This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using … for stocks under stochastic volatility varies strongly with the investor's coefficient of relative risk aversion, but only … preference parameters. This paper also shows that stochastic variation in volatility produces an optimal intertemporal hedging …

-run effects is fragile, and while prices are probably expected to fall a little as a result of war, any oil dividend' will be …