Volatility forecasting is an important task for those associated with the financial markets, and has occupied the attention of academics and practitioners over the last two decades. This research paper reflects the importance of volatility in option pricing, security valuation and risk...

Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return predictability and the failure to convert return forecasts into economic gains. We show that resolving this puzzle requires accounting for important features of bond return models such...