In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and the multi-step time-varying coefficient predictive...

This paper proposes a novel time-varying present-value model to analyze the joint dynamics of stock returns and cash flows periodically. We use a nonparametric time-varying vector autoregressive model to examine the economic implications of the time-varying present-value model. By conducting...