Volatility and Time Series Econometrics: Essays in Honor of Robert F. .Engle Edited by Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson OXFORD UNIVERSITY PRESS ...

Cross-validation is the most common data-driven procedure for choosing smoothing parameters in nonparametric regression. For the case of kernel estimators with iid or strong mixing data, it is well-known that the bandwidth chosen by crossvalidation is optimal with respect to the average squared...

We introduce a new stylized fact: the hump-shaped behavior of slopes and coefficients of determination as a function of the aggregation horizon when running (forward/backward) predictive regressions of future excess market returns onto past economic uncertainty (as proxied by market variance,...