This paper attempts to explore whether lagged variables that help predict stock returns are merely proxying for mismeasured risk. Therefore, three different ways of measuring risk are employed (i.e., semiparametric, GARCH, and lagged squared returns). In an application to Japanese data, four key...

This paper derives, and then estimates, a model of employment where unions and firms bargain over wages and possibly employment, and efficiency wage considerations may be important. It illustrates the difficulties associated in interpreting many existing attempts to discriminate between...

We develop generalized indirect estimation procedures that handle equality and inequality constraints on the auxiliary model parameters by extracting information from the relevant multipliers, and compare their asymptotic efficiency to maximum likelihood. We also show that, regardless of the...

The author introduces a new model for time-varying conditional variances as the most general quadratic version possible within the ARCH class. Hence, it encompasses all the existing restricted quadratic variance functions. Its properties are very similar to those of GARCH models but avoids some...

We develop generalized indirect estimation procedures that handle equality and inequality constraints on the auxiliary model parameters by extracting information from the relevant multipliers, and compare their asymptotic efficiency to maximum likelihood. We also show that, regardless of the...