We construct economic tracking portfolios from Austrian stock market returns, euro/dollar exchange rate changes and changes in the oil price to extract revisions of market expectations about future industrial production growth and inflation in Austria. The forecasting ability of the portfolios...

This article investigates the pricing of subprime mortgage risk using data for the ABX.HE indices, which have become a key barometer of market conditions during the recent financial crisis. After a discussion of ABX index mechanics and observed pricing patterns, we use regression analysis to...