In recent years, there has been renewed interest in the moments of the yield curve (or alternatively, the term spread … the debt service ratio in many cases yield substantially better predictive power, in terms of in-sample fit using … proportion of variance explained. Overall, the predictive power of the yield curve, as well as other financial variables, varies …

argue that in the context of predicting excess returns, valid augmenting variables exist and are likely to yield substantial …

yield, we find that jumps are both highly prevalent and distinctly less persistent than the continuous sample path variation …