In recent years, many exciting developments have taken place in bootstrapping time series.
Advances have proceeded along a number of distinct paths. Some authors have focused on …

This paper constructs a manager sentiment index based on the aggregated textual tone of
corporate financial disclosures. We find that manager sentiment is a strong negative …

We propose a new investor sentiment index that is aligned with the purpose of predicting the
aggregate stock market. By eliminating a common noise component in sentiment proxies …

When I worked on my Introduction to Multiple Time Series Analysis (Lutk ̈ ̈-pohl (1991)), a
suitable textbook for this? eld was not available. Given the great importance these methods …

Academic research relies extensively on macroeconomic variables to forecast the US equity
risk premium, with relatively little attention paid to the technical indicators widely employed …

We examine subjective risk premia implied by return expectations of individual investors and
professionals for portfolios of stocks, bonds, currencies, and commodity futures. While in …

When a rate of return is regressed on a lagged stochastic regressor, such as a dividend
yield, the regression disturbance is correlated with the regressor's innovation. The OLS …

Bias-corrected bootstrap confidence intervals explicitly account for the bias and skewness of
the small-sample distribution of the impulse response estimator, while retaining asymptotic …

This document presents how to estimate and implement a structural VAR-X model under
long run and impact identification restrictions. Estimation by Bayesian and classical methods …

VECTOR AUTOREGRESSIONS (VARs) have now become the most popular tool of time
series analysis among econometricians. Unfortunately, little is known about the analytic …