This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit parameters and forecast next day S&P 500 option...

In an economy where cash can be stored costlessly (in nominal terms), the nominal interest rate is bounded below by zero. This paper derives the implications of this nonnegativity constraint for the term structure and shows that it induces a nonlinear and convex relation between short- and...

This Paper Proposes a General Method to Build Exact Tests and Confidence Sets in Linear Regressions with First-Order Autoregressive Gaussian Disturbances. Because of a Nuisance Parameter Problem, We Argue That Generalized Bounds Tests and Conservative Confidence Sets Provide Natural Inference...