This paper presents the most comprehensive out-of-U.S.-sample examination of information variables and equity premium predictability by focusing on Canada to reassess the growing U.S.-based evidence casting doubt on predictability. Using monthly data for 36 variables from 1950 to 2013, we test...

The estimation of multivariate GARCH time series models is a difficult task mainly due to the excessive parameterization exhibited by the problem, usually referred to as the "curse of dimensionality." For the VEC family, the number of parameters involved in the model grows as a polynomial of...