In recent years, there has been renewed interest in the yield curve as a predictor of future economic activity. In this paper, we re-examine the evidence for this predictor for the Indian market. The paper tries to indicate how the yield curve spread in a government securities market may be used...

We propose a comprehensive empirical examination of the time-varying leading properties of two high yield spreads in the United States and compare them with the leading properties of the term spread between the mid-1980s and the end of 2011. We show that high yield spreads are not reliable...

We propose a new method to improve density forecasts of the equity premium using information from options markets. We obtain predictive densities from stochastic volatility (SV) and GARCH models, which we then tilt using the second moment of the risk-neutral distribution implied by options...

This paper presents a CAPM-based threshold quantile regression model with GARCH specification to examine relations between stock excess returns and “abnormal trading volume.” By employing the Bayesian MCMC method with asymmetric Laplace distribution to six daily Dow Jones Industrial stocks,...

The intuitiveness and practicability of mean-variance portfolios largely depends on the accuracy of moment estimates, which are subject to large estimation errors and conditional on time. We propose a model accounting for factor dynamics in a Bayesian setting, in which the impact of estimation...

COVID-19 pandemic is an extreme event that created a turmoil in stock markets around the world. This unexpected circumstance poses a critical question whether the prevailing models can help predict the plummets of indices, hence the returns. In this study, we model the stock returns using...

This paper presents a method for Bayesian nonparametric analysis of the return distribution in a stochastic volatility model. The distribution of the logarithm of the squared return is flexibly modelled using an infinite mixture of Normal distributions. This allows efficient Markov chain Monte...

This paper documents the existence of a slowly evolving trend in the dividend-price ratio, dp, determined by a demographic variable, MY: the middle-aged to young ratio. Deviations of the dividend-price ratio from this slowly evolving long-run component explain transitory but persistent...

We propose a new approach to imposing economic constraints on forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We consider two...

We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted...