Soybeans, a vital source of protein for animal feed and an essential industrial raw material, are the most traded agricultural commodity worldwide. Accurate price forecasting is crucial for maintaining a resilient global food supply chain and has significant implications for agricultural...

Compared to other asset classes, information on transactions of residential real estate is scarce and available only with delay. Listing information from web-platforms is abundant and timely. Is listings data useful for research? We examine this question and find that distributions of ask and...

This paper uses high-frequency real-time spot prices and day-ahead forward prices from the eastern hub of the Pennsylvania-New Jersey-Maryland (PJM) electricity market to calculate, describe, and forecast realized spot price volatility. Using Heterogeneous Autoregressive models of realized...

This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and...

Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility forecasting accuracy. Additionally, we explore the...

This paper investigates the momentum and reversal signals in exchange rate jumps in currency markets. Following exchange rate jumps, currencies from emerging markets appreciate, but currencies from developed economies depreciate. Stepwise multiple testing confirms non-jump exchange rate changes...

We use the copula approach to study the structure of dependence between sell-side analysts' consensus recommendations and subsequent security returns, with a focus on asymmetric tail dependence. We match monthly vintages of I/B/E/S recommendations for the period January to December 2011 with...

Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods...

This paper studies standard predictive regressions in economic systems governed by persistent vector autoregressive dynamics for the state variables. In particular, all - or a subset - of the variables may be fractionally integrated, which induces a spurious regression problem. We propose a new...