The present paper analyzes the forecastability and tradability of volatility on the large S&P500 index and the liquid SPY ETF, VIX index and VXX ETN. Even though there is already a huge array of literature on forecasting high frequency volatility, most publications only evaluate the forecast in...

In recent years, Fund staff has prepared cross-country analyses of macroeconomic vulnerabilities in low-income countries, focusing on the risk of sharp declines in economic growth and of debt distress. We discuss routes to broadening this focus by adding several macroeconomic and macrofinancial...

This paper studies a semi-parametric single-index predictive regression model with multiple nonstationary predictors that exhibit co-movement behaviour. Orthogonal series expansion is employed to approximate the unknown link function in the model and the estimator is derived from an optimization...