of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting …

Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary … process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat yields … the problem of forecasting the term structure of interest rates with the assumption that the yield curve is driven by …

-of-sample forecasting performance. Differences across countries are seemingly linked to market liquidity. The paper further finds that the …