persistence. This view is questioned in the paper using German data on unemployment. A new class of time-series models, the …

on the conditional Sharpe ratio, the latter of which incorporates timevarying volatility in the predictive regression …

This paper shows that there exists a strong positive correlation between long-term growth rates and the persistence of … output fluctuations in a cross section of countries. We argue that the traditional explanation of persistence, a real …, output fluctuations are persistent and the degree of persistence is an increasing function of long-term growth rates. Growth …

to an end. This paper offers evidence that the decrease in output volatility still remains in force despite the GR and …

? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the … negatively linked to variation in market volatility, at odds with leading asset pricing models. Since the conditional volatility …

component. We show that both the time series and the term structure of conditional volatility in general is downward sloping and … reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices … will exceed actual volatility. Over time, and in the absence of a reversal, this wedge progressively disappears. This may …

-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …