We study the predictability of exchange rates of currencies of emerging and developed economies from 1994 to 2016 to shed light on the efficiency of currency markets and how it evolved over this time. For the currencies of emerging economies, our analysis of futures returns finds some evidence...

Risk measures, including Value-at-Risk (VaR) and Conditional VaR (Expected Shortfall), turn out to be quite sensitive to the degree to which distributions are thick tailed and asymmetric. Lack of encoding information about asymmetry and leptokurtosis is a well-known drawback of the Gaussian law....

We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor....

We re-examine diversification benefits of investing in commodities and currencies by considering a risk-averse investor with mean-variance preferences who exploits the possibility of predictable time variation in asset return means, variances, and covariances. We implement unconditional and...