Using US data from June 1984 to July 1999, we show that the impact of firm-specificcharacteristics like size and book-to-price on future excess stock returns varies considerably overtime. The impact can be either positive or negative at different times. This time variation ispartially...

We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model for the autoregressive coefficient matrices and...

Recent developments in inflation and M3 velocity in the euro area have raised serious doubts about the reliability of M3 growth as a pillar of the ECB's monetary policy strategy. We develop a very flexible and comprehensive state-space framework for modeling the velocity of circulation. Our...