volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically … forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility …

inflation process is well described by an unobserved component trend-cycle model with stochastic volatility or, equivalently, an …

While international election interference is not new, Russia is credited with “industrializing” trolling on English … written by trolls from Russia's Internet Research Agency. Most active 2015-2017, these Russian trolls generally supported the …

evidence that the forecast of the Markov model are superior at predicting the direction of change of the exchange rate …

models when measured by root mean square errors, especially over long-run forecast horizons. The model is shown to be capable …

premium. We use this simple observation to forecast the equity-premium time series with the cross-sectional price of risk. We …