We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid that the long memory property of volatility carries over to...

We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk-return tradeoff and the leverage effect. We apply the fractionally integrated exponential GARCH-in-mean (FIEGARCH-M) model for daily stock return data, which includes both features and...

We present a novel approach to analyzing stock return predictability that accommodates (i) arbitrary predictor persistence, (ii) panels with common factors, (iii) multiple predictors, (iv) short- and long-horizon analysis, and relies on standard inference from least-squares estimation of a...