“...This paper proposes a simulation-free estimation algorithm for vector autoregressions (VARs) that allows fast approximate calculation of marginal parameter...”

“...Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return predictability and the failure to convert return...”

“...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 introduce a fast, closed-form, simulation-free method to model and forecast multiple asset returns and employ it to investigate the optimal ensemble of...”