frequency information into one model. We consider subsample averaging, bootstrap averaging, forecast averaging methods for the … forecasting the daily S&P 500 index return quantile (Value-at-Risk or VaR is simply the negative of it), using high …-frequency information is beneficial, often substantially and particularly so, in forecasting downside risk. Our empirical results show that …

/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast …