This paper investigates the interaction between real stock returns and economic activity using a new econometric technique that suggests postwar US industrial production is best characterized as broken trend stationary rather than first difference stationary. This result, however, has little...

This paper compares the forecasting performance of the range-based stochastic volatility model with a number of other well-known forecasting models. Each forecasting model is applied to a financial data set that includes daily futures prices on, the S&P 500, ten year US government bond series,...