Despite the fact that convergence has been a popular theme in applied economics since the seminal papers of Barro (1991)and Barro and Sala-i-Martin (1992), the very notion of convergence quickly becomes problematic from an academic viewpoint when we try and formalize a framework to think about...

Changes in the risk structure of stock returns may sometimes be very revealing. We examine economic variables that help explain principal components in UK stock returns, 01/1985 to 12/2001. The loading pattern on explanatory variables for the first component in a ‘bubble’ period is...

We investigate the presence of significant electricity forward risk premia, using data from three major continental European energy markets - German, Dutch and French. We introduce the risk premium in the framework of a standard electricity spot/forward unobserved factor model, and derive the...

Historically, time series forecasts of economic variables have used only a handful of predictor variables, while forecasts based on a large number of predictors have been the province of judgmental forecasts and large structural econometric models. The past decade, however, has seen considerable...