asymptotically valid for serially independent observations. Yet, in the presence of serial correlation they are markedly oversized as … confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By … relevance to account for serial correlation in economic time series when testing for the value of directional forecasts …

that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …