retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration … relationships. We show that the cointegration component allows capturing well-known features of commodity prices, i.e., upward … provide compelling evidence of cointegration in the data. Implications for the prices of futures and options written on common …

exchange rate regimes indicates that currency volatility exerts only a small influence upon the level if investment spending …

particularly pronounced in industries with higher volatility. Combining industry-level data on the U.S. offshoring intensity with … measures of labor market rigidity and industry volatility, we find empirical evidence strongly supportive of the model …