We develop asset pricing models' implications for portfolio efficiency with conditioning information in the form of lagged instruments. A model identifies a portfolio that should be minimum-variance efficient with respect to the conditioning information. Our framework refines tests of portfolio...

We show how to compute patterns of variation over time, both among and within countries, that determine the international term structure of interest rates, using maximum likelihood within a linear Gaussian state-space framework. The simultaneous estimation of common factors (shared by all...