The classic 'logistic' model has provided a realistic model of the behaviour of Covid-19 in China and many East Asian countries. Once these countries passed the peak, the daily case count fell back, mirroring its initial climb in a symmetric way, just as the classic model predicts. However, in...

We develop a Gaussian discrete time essentially affine term structure model with long memory state variables. This feature reconciles the strong persistence observed in nominal yields and inflation with the theoretical implications of affine models, especially for long maturities. We...

We consider fixed-smoothing asymptotics for the Diebold and Mariano (1995) test of predictive accuracy. We show that this approach delivers predictive accuracy tests that are correctly sized even when only a small number of out of sample observations are available. We apply the fixed-smoothing...