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Long memory in emerging market stock returns

Wright, Jonathan H. - 1999

Persistent link: https://www.econbiz.de/10001441771

High frequency data, frequency domain inference and volatility forecasting

Wright, Jonathan H.; Bollerslev, Tim - 1999

Persistent link: https://www.econbiz.de/10001433207

High-frequency data, frequency domain inference, and volatility forecasting

Bollerslev, Tim; Wright, Jonathan H. - In: The review of economics and statistics 83 (2001) 4, pp. 596-602

Persistent link: https://www.econbiz.de/10001627219

An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates

Kim, Don H.; Wright, Jonathan H. - 2005

Persistent link: https://www.econbiz.de/10003087210

Cracking the Conundrum

Backus, David; Wright, Jonathan H. - 2008

From 2004 to 2006, the FOMC raised the target federal funds rate by 4.25 percentage points, yet long-maturity yields and forward rates fell. We consider several possible explanations for this "conundrum." The most likely, in our view, is a fall in the term premium, probably associated with some...

Persistent link: https://www.econbiz.de/10014048054