We investigate return predictability and the implied intertemporal hedging demands for stocks and bonds in the U.S., Australia, Canada, France, Germany, Italy, and U.K. We first estimate predictive regression models for domestic bill, stock, and bond returns in each country, where returns depend...

Forecasting macroeconomic variables using diffusion indexes in short samples with structural change / Anindya Banerjee, Massimiliano Marcellino, Igor Masten -- Predictive inference under model misspecification / Nii Ayi Armah, Norman R. Swanson -- Forecasting persistent data with possible...