We analyze the stock market return predictability for three different periods. We evaluate the conditional variance (CV) and the variance risk premium (VRP) as predictors of stock market returns for which we are using well-established versions of the heterogeneous auto-regressive (HAR) model and...

We propose two newtests for the specification of both the drift and the diffusion functions in a discretized version of a semiparametric continuous-time financial econometric model. Theoretically, we establish some asymptotic consistency results for the proposed tests. Practically, a simple...

Understanding the behaviour of market prices is not simple. Stock market prices tend to have complicated distributions with strong skewness and fat tails. One important step in forecasting tomorrow’s price is to estimate the volatility, i.e. how much tomorrow’s price is expected to differ...