Ortu, Fulvio; Tamoni, Andrea; Tebaldi, Claudio - In: Review of Financial Studies 26 (2013) 11, pp. 2876-2915
We propose a decomposition for time series in components classified by levels of persistence. Employing this decomposition, we provide empirical evidence that consumption growth contains predictable components highly correlated with well-known proxies of consumption variability. These components...