For many years after the seminal work of Meese and Rogoff (1983a), conventional wisdom held that exchange rates could not be forecast from monetary fundamentals. Monetary models of exchange rate determination were generally unable to beat even a naïve no-change model in out-of-sample...

This article uses probability forecasts derived from options to assess evolving market uncertainty about Federal Reserve monetary policy actions in a variety of recent events and episodes. Options on federal funds futures contracts reveal a complete probability density function over possible...

Consistent with findings in other markets, implied volatility is a biased predictor of the realized volatility of gold futures. No existing explanation—including a price of volatility risk—can completely explain the bias, but much of this apparent bias can be explained by persistence and...

This paper merges the literature on technical trading rules with the literature on Markov switching to develop economically useful trading rules. The Markov models' out-of sample, excess returns modestly exceed those of standard technical rules and are profitable over the most recent subsample....

Research has consistently found that implied volatility is a conditionally biased predictor of realized volatility across asset markets. This paper evaluates explanations for this bias in the market for options on foreign exchange futures. No solution considered—including a model of priced...

This article investigates the use of genetic programming to forecast out-of-sample daily volatility in the foreign exchange market. Forecasting performance is evaluated relative to GARCH(1,1) and RiskMetrics‘ models for two currencies, the Deutsche mark and the Japanese yen. Although the GARCH...

This paper analyzes the ability of both economic variables and moving-average rules to forecast the monthly U.S. equity premium using out-of-sample tests for 1960?2008. Both approaches provide statistically and economically significant out-of-sample forecasting gains, which are concentrated in...

For many years after the seminal work of the Meese and Rogoff (1983a), conventional wisdom held that exchange rates could not be forecast from monetary fundamentals. Monetary models of exchange rate determination were generally unable to beat even a naive no-change model in out-of-sample...