Using data spanning 200 years we examine the nature of the long-run cointegrating behaviour between real output and real stock prices. A standard cointegration framework demonstrates that such a long-run relationship exists with both variables exhibiting significant equilibrium reversion, albeit...

Persistence in economic variables is common. We re-examine that using a time-varying parameter model. Results support a substantial reduction in persistence, particularly, when allowing for time-variation in the constant. This has important implications for policy-making and the effect of shocks.

This paper argues that dividend yield stock return predictability is time-varying. We conjecture that such time-variation is linked to the business cycle. Employing monthly data for US sector portfolios we estimate 5-year rolling fixed window predictive regressions. The resulting series of...

This paper examines the forecasting ability of the dividend-price ratio for international stock market returns. Hitherto, existing research has only considered this issue in sample and in a linear framework. Hence, this paper provides the first systematic study of non-linear forecasting within...

Recent empirical finance research has suggested the potential for series to exhibit non-linear adjustment to equilibrium. This paper examines a variety of such models and compares their performance with the linear alternative. Using short- and long-term UK interest rates we report evidence that...

Previous research concerned with the investigation of intraday data has typically sought to model that data using techniques to control for intraday periodicity, has applied models of short-horizon and long-horizon dependencies, or has utilised intraday data in the construction of realised...