information from various financial and macroeconomic variables relevant for return prediction and the diffusion indexes can … regression methods to combine forecasts comparable to the dynamic factor predictive model such as the forecast combination method …

we often see in scatter-plots of long-term stock-returns. We also derive formulas that let us forecast the mean and …

In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in … squared return prediction errors gives an adequate approximation of the unobserved realised conditional variance for both the …