Guidolin, Massimo; Timmerman, Allan - Federal Reserve Bank of St. Louis - 2006
, Fabio Trojani, Giorgio Valente, and Mike Wickens. Seminar participants at the European Financial
Management 2005 Annual …, Krannert School of Management at Purdue, Manchester Business School, University of Washington,
University of York (UK …
Cov[x
t+1
,x
W
t+1
|F
t
] requires knowledge of the first h elements of E[y
t+1
|F
t
]. Appendix B explains our iterative …