The predictive accuracy of various econometrics models, including random walks, vector autoregressive and vector error-correction models, are investigated using daily futures prices of 4 commodities (the S&P500 index, treasury bonds, gold and crude oil).

In this paper we eamine the characteristics of market opening news and its impact on the estimated coefficients of the conditional volatility model of the GARCH class.

We develop regression-based tests of hypotheses about out of sample prediction errors. Representative tests include ones for zero mean and zero correlation between a prediction error and a vector of predictors. The relevant environments are ones in which predictions depend on estimated...

This paper constructs a composite index of coincident economic indicators (CEI), which tracks the state of the Spanish economy better than real GDP, and provides a rigorous dating of the Spanish business cycle turning points.

This paper develops analytical methods to forecast the distribution of future returns for a new continuous-time process, the Poisson multi-fractal. The process captures the thick tails, volatility persistence and moment scaling exhibited by many financial time series. It can be interpreted as a...

This paper studies macroeconomic effects of fiscal policies in four Asian countries - Bangladesh, China, Indonesia, and the Philippines - by means of structural macroeconometric model simulations. It is found that short-term fiscal multipliers from an untargeted increase in government...

Macroeconomic expectations of various economic agents are characterized by substantial cross-sectional heterogeneity. In this paper, we focus on expectations heterogeneity among professional forecasters. We first present stylized facts and discuss theoretical explanations for heterogeneous...