This paper compares the behavior of real interest rate differentials across the major countries under the Bretton Woods regime and the regime of floating exchanges that replaced it. The primary object is to investigate both the extent of market integration and its changes over time. For all...

Over the last decade or so there has been an increased interest in combining the forecasts from different models. Pooling the forecast outcomes from different models has been shown to improve out‐of‐sample forecast test statistics beyond any of the individual component techniques. The...

Understanding cyclical activity is an important component of efficient portfolio management. Property appraisal models that do not explicitly take into account cyclical fluctuations may produce unrealistic valuation estimates resulting in property assets being incorrectly added to or removed...

Recent studies suggest realized volatility provides forecasts that are as good as option-implied volatilities, with improvement stemming from the use of high-frequency data instead of a long-memory specification. This paper examines whether volatility persistence can be captured by a longer...

This paper compares the behavior of real interest rate differentials across the major countries under the Bretton Woods regime and the regime of floating exchanges that replaced it. The primary object is to investigate both the extent of market integration and its changes over time. For all...