This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 3, "Issues in value-at-risk modeling and evaluation." The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was...

It is widely believed that imposing cointegration on a forecasting system, if cointegration is, in fact, present, will improve long-horizon forecasts. The authors show that, contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using...

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce...

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of...

We consider three sets of phenomena that feature prominently - and separately - in the financial economics literature: conditional mean dependence (or lack thereof) in asset returns, dependence (and hence forecastability) in asset return signs, and dependence (and hence forecastability) in asset...

It depends. If volatility fluctuates in a forecastable way, then volatility forecasts are useful for risk management; hence the interest in volatility forecastability in the risk management literature. Volatility forecastability, however, varies with horizon, and different horizons are relevant...

It depends. If volatility fluctuates in a forecastable way, volatility forecasts are useful for risk management (hence the interest in volatility forecastability in the risk management literature). Volatility forecastability, however, varies with horizon, and different horizons are relevant in...