This study examines 16 models of monthly Value-at-Risk (VaR) for three equity indices with an emphasis on the filtered historical simulation (FHS) technique. We investigate the importance of historical simulation versus a parametrized approach, the presence of filter versus a static modeling of...

This paper investigates the relationship between federal election outcomes and expected returns and volatilities in the Canadian money, bond, equity and currency markets from 1951 to 2006. There is little evidence that investment opportunities are different in minority versus majority...

This paper presents the most comprehensive out-of-U.S.-sample examination of information variables and equity premium predictability by focusing on Canada to reassess the growing U.S.-based evidence casting doubt on predictability. Using monthly data for 36 variables from 1950 to 2013, we test...