In the US, Cohen and Frazzini (2008) shows that suppliers returns are predictable using lagged customers returns. The converse does not hold. In China, however, both predictive directions hold: customer returns predict future sup-pliers’ returns as in the US, and suppliers returns predict...

We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The conditional mean process has a flexible form that can accommodate both a state space representation and a conventional dynamic regression. The ARMA component introduces serial...

We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The conditional mean process has a flexible form that can accommodate both a state space representation and a conventional dynamic regression. The ARMA component introduces serial...