The growth rate of temporary help service employment is often considered to be a leading business cycle indicator, because the firing and hiring of temporary help workers typically lead that of permanent workers. However, few works in the literature focus on the mechanism that generates the lag...

This paper estimates ex-post returns to Australian housing in Australian capital cities 1999 2015 considering the cycle of asset ownership; acquisition, annual operations, taxation and disposition. Modelling accommodates financial leverage and varying taxation regimes. Results confirm home...

We introduce a conditional volatility model that combines persistent volatility dynamics with spillovers from a wide cross-section of assets. We use elastic net estimation on a large, restricted VAR of realized measures to model these volatility dynamics. We show that despite the many parameters...

There is a large and growing literature on spillovers but no study that systematically evaluates the importance of spillovers for portfolio management. This paper provides such an analysis and demonstrates that spillovers are fully embedded in estimates of expected returns, variances, and...