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Co-integration constraint and forecasting: An empirical examination (replicat...
Does co-integration help long-term forecasts? In this paper, we use simulation, real data sets, and multi-step-ahead post-sample forecasts to study this question. Based on the... -
Stock market volatility and the business cycle (replication data)
This paper investigates the joint time series behavior of monthly stock returns and growth in industrial production. We find that stock returns are well characterized by...
