An enduring problem in international finance is forward premium bias. Forward rates consistently provide biased estimates of future exchange rate movements. Some attack the rationality assumption for the foreign exchange market, claiming the forward premium may reflect irrational expectations of...

Unlike equity returns, many fixed-income return measures appear to display long memory. We show that the extent of long memory differs strongly for gross and excess holding period returns on U.S. Treasury securities. Granger and others have argued that long memory may only reflect infrequent...

The underlying economic sources of volatility clustering in asset returns remain a puzzle in financial economics. Using daily equity returns, we study variation in the volatility relation between the conditional variance of individual firm returns and yesterday's market return shock. We find a...

The distributions of Treasury security yields, returns, and volatility play critical roles in finance theory, and there are many papers that characterize features of these distributions. Our aim is to extend earlier work on short-term dependence of these by documenting and measuring long-range...

Unlike equity returns, many fixed-income return and volatility measures appear to display considerable long memory. Connolly and G½ner (working paper, 1999) show this holds particularly strongly for shorter-maturity Treasury securities in the U.S. They show that fixed-income return and...