This paper introduces structured machine learning regressions for prediction and nowcasting with panel data consisting of series sampled at different frequencies. Motivated by the empirical problem of predicting corporate earnings for a large cross-section of firms with macroeconomic, financial,...

Multi-period forecasts of stock market return volatilities are often used in many applied areas of finance where long horizon measures of risk are necessary. Yet, very little is known about how to forecast variances several periods ahead, as most of the focus has been placed on one-period ahead...

Multi-period-ahead forecasts of returns' variance are used in most areas of applied finance where long horizon measures of risk are necessary. Yet, the major focus in the variance forecasting literature has been on one-period-ahead forecasts. In this paper, we compare several approaches of...

A typical MIDAS regression involves estimating parameters via nonlinear least squares, unless U-MIDAS is applied - which involves OLS - the latter being appealing when the sampling frequency differences are small. In this paper we propose to use OLS estimation of the MIDAS regression slope and...

This paper uses structured machine learning regressions for nowcasting with panel data consisting of series sampled at different frequencies. Motivated by the problem of predicting corporate earnings for a large cross-section of firms with macroeconomic, financial, and news time series sampled...

The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called...

The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called...

The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called...

This paper provides robustness checks and analytical derivations to supplement the material presented in the paper Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory.The paper to which these Appendices apply is available at the following URL:...

This paper studies the ICAPM intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns - the Mixed Data Sampling (or MIDAS) approach. Using...