“...Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. When returns are non-normal, it is often...”

“...This paper considers a U.S. institutional investor who is implementing a long‐term portfolio allocation using forecasts of financial returns. We compare the...”

“...In this paper, we show that the individual skewness, defined as the average of monthly skewness across firms, performs very well at predicting the return of...”

“...Recent portfolio-choice, asset-pricing, value-at-risk, and option-valuation models highlight the importance of modeling the asymmetry and tail-fatness of...”

“...The aggregation of individual random AR(1) models generally leads to an AR(∞) process. We provide two consistent estimators of aggregate dynamics based on...”

“...It is well known that strategies that allow investors to allocate their wealth using return and volatility forecasts, the use of which are termed market and...”

“...Sector-level Phillips curves are estimated in French data. There is considerable heterogeneity across sectors, with vastly different estimates of the backward...”

“...The entropy principle yields, for a given set of moments, a density that involves the smallest amount of prior information. We first show how entropy densities...”

“...The asymmetry in the tail dependence between U.S. equity portfolios and the aggregate U.S. market is a well-established property. Given the limited number of...”

“...The “New Keynesian” Phillips Curve (NKPC) states that inflation has a purely forward-looking dynamics. In this paper, we test whether the inflation dynamics in...”