This study introduces a new technique to analyse the evolution of correlations for multiple time series. The technique is based on applying Topological Data Analysis (TDA) and we use it to gain insights about the evolution of commodity futures markets over the 1997-2017 period. Our findings...

Hundreds of anomalies, factors, or characteristic portfolios have been discovered whose risk-return spread is not explained by benchmark empirical factor models. Each of these is a potential candidate as a factor in such models. Efforts to narrow down this plethora of candidates to a...

In this paper we study the predictability of aggregate consumption growth using common factors extracted from a large panel of macroeconomic and financial time series. The stochastic process followed by consumption growth and its predictability by other variables is a key assumption in...

We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return profile of currency carry trade portfolios. We use a scaled stochastic discount factor instead of scaled or managed portfolio returns as in previous work. Our conditioning...

We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return profile of currency carry trade portfolios. We use a scaled stochastic discount factor instead of scaled or managed portfolio returns as in previous work. Our conditioning...