Unlike equity returns, many fixed-income return measures appear to display long memory. We show that the extent of long memory differs strongly for gross and excess holding period returns on U.S. Treasury securities. Granger and others have argued that long memory may only reflect infrequent...

An enduring problem in international finance is forward premium bias. Forward rates consistently provide biased estimates of future exchange rate movements. Some attack the rationality assumption for the foreign exchange market, claiming the forward premium may reflect irrational expectations of...

The distributions of Treasury security yields, returns, and volatility play critical roles in finance theory, and there are many papers that characterize features of these distributions. Our aim is to extend earlier work on short-term dependence of these by documenting and measuring long-range...

We investigate bivariate regime‐switching in daily futures‐contract returns for the US stock index and ten‐year Treasury notes over the crisis‐rich 1997–2005 period. We allow the return means, volatilities, and correlation to all vary across regimes. We document a striking contrast...