In this paper long-run forecasting of multicointegrating variables is investigated. Multicointegration <p> typically occurs in dynamic systems involving both stock and flow variables whereby a common feature <p> in the form of shared stochastic trends is present across different levels of multiple...</p></p>

US and UK stock returns are highly positively correlated over the period 1918-1999. Using VAR-based variance decompositions, we investigate the nature of this comovement. Excess return innovations are decomposed into news about future dividends, real interest rates, and excess returns. We find...

In this comment I critically review some of the claims and analyses made by Hooker (2000) in his study of the Cagan hyperinflation model. I argue that: i) contrary to what Hooker claims, cointegration tests can be used to discriminate between bubbles and no bubbles; ii) contrary to Hooker's...

We investigate the C-CAPM and the equity premium puzzle using asset returns and consumption data from the US and Denmark. In contrast to previous studies the investigation is carried out with both short and long investment horizons. In addition, we introduce a Markovian bootstrap approach to...

We suggest a new test for speculative stock market bubbles that has several advantages compared to earlier bubble tests. The test makes use of the fact that the variance of excess return innovations and the variance of (dividend news minus interest rate news minus excess returm news) will be...

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Based on a number of deviation measures, Kim (1996) finds that postwar US consumption deviates from the Permanent Income Hypothesis (PIH) by only around 4 percent. In the present paper we investigate in more detail the extent to which the PIH provides a good approximation to US consumption data....

We present a new dividend-adjusted blue chip index for the Dan- <p> ish stock market covering the period 1985-2002. In contrast to <p> other indices on the Danish stock market, the index is calcu- <p> lated on a daily basis. In the first part of the paper a detailed <p> description of the construction of...</p></p></p></p>