We explore the performance of mixed-frequency predictive regressions for stock returns from the perspective of a Bayesian investor. We develop a constrained parameter learning approach for sequential estimation allowing for belief revisions. Empirically, we find that mixed-frequency models...

Robustness of credit portfolio models is of great interest for financial institutions and regulators, since misspecified models translate to insufficient capital buffers and a crisis-prone financial system. In this paper, we propose a method to enhance credit portfolio models based on the model...