This study assesses the usefulness of flexible optimal models of business cycle variables for predicting stock market returns. We find that variable estimation periods identify structural breaks in months with large absolute returns and the optimal models recognize regime switches. Flexible...

Using five-minute index data from three major countries, i.e. the U.S., the U.K., and Canada, we investigate the pattern of cross-border transmission of stock price innovations during the overlapping trading hours, i.e. 9:30 a.m. to 11:30 a.m. in EST. A Sim's test indicates that the U.S. stock...