We provide a tractable characterization of the sharp identification region of the parameters ø in a broad class of incomplete econometric models. Models in this class have set valued predictions that yield a convex set of conditional or unconditional moments for the observable model variables....

Established nowcasting techniques generally use as inputs two types of economic data: directly quantifiable variables, mostly referred to as hard data, and survey-based measures of the economy, or soft data. In this paper we increase the dimensionality of the nowcasting input data set by...

This paper shows analytically that the basis between spot and futures contracts contains information about future returns of securities across the asset classes of commodities, equity indices, fixed income and foreign exchange. The bases in commodities are positively correlated with a leading...