Finding a precise variance-covariance matrix is the building block of empirical finance. While microstructure-noise-robust methods for realized volatility are in the mainstream of financial econometrics, little if any attention has been devoted to estimating a noise-free realized covariance for...

It is well documented that the term structure of interest rates has predictive power for real economic growth. Although various models have been constructed to test the predictive power, there is no consensus on which model captures most information about future states of the economy....

In this paper, we re-examine the profitability of technical analysis using White's Reality Check and Hansen's SPA test that correct the data snooping bias. Comparing to previous studies, we study a more complete universe of trading techniques, including not only simple rules but also investor's...