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This article develops a new family of Gaussian macro-dynamic term structure models (MTSMs) in which bond yields follow a low-dimensional factor structure and the historical distribution of bond yields and macroeconomic variables is characterized by a vector-autoregression with order p > 1. Most...
Using cross-country data, we evaluate four conceptually distinct causal variables believed to shape property rights institutions: Legal Origin, Endowments, Ethnic Diversity, and Religion. Given the correlations between the explanatory variables, it is difficult to fashion empirical tests which...
Option prices provide a great deal of information regarding the market's expectations of future asset price dynamics. But, the implied dynamics are under the risk-neutral measure rather than the physical measure under which the price of the underlying asset itself evolves. This article...
We develop tests for predictability in a first-order ARMA model often suggested for stock returns. Instead of the conventional ARMA model, we consider its non-Gaussian and noninvertible counterpart that has identical autocorrelation properties but allows for conditional heteroskedasticity...
This article proposes a modeling framework for the study of changes in cross-market comovement conditional on volatility regimes. Methodologically, we extend the Dynamic Conditional Correlation multivariate GARCH model to allow the dynamics of correlations to depend on asset variances through a...
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