According to the log-linear return approximation, the ability of a predictor to predict future stock returns may arise from its ability to predict either the cash flows or the discount rates, or both. This paper introduces novel nonparametric approaches for estimating and testing the time...

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...