“...We propose a new approach to imposing economic constraints on time series forecasts of the equity premium. Economic constraints are used to modify the...”

“...Macroeconomists are increasingly working with large Vector Autoregressions (VARs) where the number of parameters vastly exceeds the number of observations...”

“...ABSTRACT We develop a new approach to modeling dynamics in cash flows extracted from daily firm‐level dividend announcements. We decompose daily cash flow news...”

“...This paper adopts a new approach that accounts for breaks to the parameters of return prediction models both in the historical estimation period and at future...”

“...This paper provides a new approach to forecasting time series that are subject to discrete structural breaks. We propose a Bayesian estimation and prediction...”

“...Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by...”

“...We develop a novel method to impose constraints on univariate predictive regressions of stock returns. Unlike previous approaches in the literature, we...”

“...Abstract We propose a new method to improve density forecasts of the equity premium using information from options markets. We obtain predictive densities from...”