We develop a method to identify the most important predictors of long-term asset returns and use it to analyze the impact of model uncertainty on long-term investors. We find that the impact of model uncertainty changes a lot over time which leads to considerable time-variation in all moments of...

Should long-term investors account for time-variation in model parameters? We develop a time-varying Vector Autoregressive model that can handle time-variation in intercepts, slopes, volatility and correlation, the leverage effect in volatility and fat tails. Long-term investors should take...