This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...

Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function. Most discussions in the literature address these...

This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...

Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function. Most discussions in the literature address these...

This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics and Control</I> (2013), 37(12), 2729-2754.<P> Existing models of R&D are not easily reconciled with four observable aspects of R&D: initial technologies ('ideas') need to be developed further, only a minority of initial...</p></i>

In this paper, we consider deterministic (both fluid and discrete) polling systems with <I>N</I> queues with infinite buffers and we show how to compute the best polling sequence (minimizing the average total workload). With two queues, the best polling sequence is always periodic when the system is...</i>

In this paper, we consider deterministic (both fluid and discrete) polling systems with N queues with infinite buffers and we show how to compute the best polling sequence (minimizing the average total workload). With two queues, the best polling sequence is always periodic when the system is...

This paper derives and estimates rules for fiscal policy that prescribe the optimal response to changes in unemployment and debt. We combine the reduced form model of the economy from a linear VAR with a non-linear welfare function and obtain analytic solutions for optimal policy. The variables...

In arbitrage-free but incomplete markets, the equivalent martingale measure Q for pricing traded assets is not uniquely determined. A possible approach when it comes to choosing a particular pricing measure is to consider the one that is ‘closest’to the physical probability measure P, where...

This paper argues that the introduction of a short-sale constraint in the Arrow-Radner framework invalidates standard definitions of complete and incomplete markets. In this constrained set-up, two threshold values with familiar properties arise.<BR> The case of a zero short-sale bound set on some...