This paper explores the implications of asset return predictability on long-term portfolio choice when return forecasting variables exhibit long memory. We model long memory using the class of fractionally integrated time series models. Important predictor variables for U.S. data, like the...

This paper explores the implications of asset return predictability for long-term portfolio choice when return-forecasting variables are fractionally integrated. For important predictor variables, like the dividend-price ratio, and nominal and real interest rates, we estimate orders of...

In this paper we argue that even if a dynamic relationship can be well described by a deterministic system, retrieving this relationship from an empirical time series has to take into account some, although possiblu very small measurement error in the observations. Therefore, measuring the...