Engel, C., J. Frankel, Kenneth A. Froot, and T. Rodrigues. "Tests of Conditional Mean-Variance Efficiency of the U.S. Stock Market." Journal of Empirical Finance 2 (March 1995). (Revised from NBER ...

This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR ...

A fast algorithm is developed for computing the conditional mean and variance of the signal given the observations in a signal plus noise model. The resulting recursions can be applied immediately to ...

Economic forecasts usually provide point estimates for the conditional mean of GDP growth (or the GDP gap). However, such point forecasts ignore risks around the central forecast and, at times, may ...