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 …

areas of India, and that farmers respond more strongly to the forecast where there is more forecast skill and not at all … when there is no skill. We show, using an IV strategy in which the Indian government forecast of monsoon rainfall serves as … estimated. Using the full rainfall distribution and our profit function estimates, we find that Indian farmers on average under …

/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast …

gains in estimation efficiency and, hence, predictive accuracy. The proposed augmenting variables are ex post measures of an … not observed at the time that the forecast is made--but can nonetheless improve forecasting accuracy by reducing parameter … estimation uncertainty. We derive formal results about the benefits and limits of this approach and apply it to standard examples …

-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most …-price bubbles. Analogous results also obtain when we attempt to forecast the skewness of the aggregate stock market, though our …

-sample parameter estimates and pronounced intertemporal volatility persistence. Meanwhile, when judged by standard forecast evaluation … criteria, based on the squared or absolute returns over daily or longer forecast horizons, ARCH models provide seemingly poor …