This paper reviews the recent development and new findings of the literature on learning-to-forecast experiments (LtFEs). In general, the stylized finding in the typical [...]

We develop an exact and distribution-free procedure to test for quantile predictability at several prediction horizons and quantile levels jointly, while allowing for an [...]

This article calibrates a class of jump-diffusion long-run risks models and quantifies how well they can account for both equity and variance risk premiums while generati[...]

The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of ti[...]

The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: C[...]

This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk pr[...]

The government’s objective in managing its domestic debt portfolio is to raise stable, low-cost funding for its operational needs. The Bank of Canada provides analysis an[...]