We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...

In this paper we investigate the relevance of considering a large number of macroeconomic indicators to forecast the complete distribution of a variable. The baseline time series model is a semi-parametric specification based on the Quantile Auto-Regressive (QAR) model that assumes that the...

This paper proposes a simple chartist-fundamentalist model in which we allow for nonlinear time variation in chartists' extrapolation rate. Estimation of the model using monthly data for the major currencies vis-a-vis the US dollar shows that the model is significant in-sample and that it has...

The interest in density forecasts (as opposed to solely modeling the conditional mean) arises from the possibility of dynamics in higher moments of a time series as well as, in some applications, the interest in forecasting the probability of future events. By combining the idea of Markov...