This Appendix contains details on several technical points and additional empirical results. Sections in this Appendix are indexed by letters and formulas/tables/figures by a letter followed by a number (e.g. A.1). Sections and formulas/tables/figures of the paper are referenced by numbers. In...

This paper proposes a novel decomposition of realized volatility (RV) into moderate and extreme realized volatility estimates. These estimates behave like long and short term components of volatility, and are very different from either realized semi-variance or the continuous and jump components...

This paper introduces composite absolute value and sign (CAVS) forecasts, a nonlinear framework that combines forecasts of the sign and absolute value of a time series into conditional mean forecasts. In contrast to linear models, the proposed framework allows different predictors to separately...

This paper proposes a Near Explosive Random-Coefficient autoregressive model for asset pricing which accommodates both the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be stationary with or without fat tails, unit-root nonstationary...