In this paper the time series properties of the Fama-French factor returns volatility processes are studied. Among the original findings of this paper, structural breaks in the volatility of the factors, and strong coincidence between the timing of the breaks in the volatility of the market...

In this article, a multivariate unobserved components model for returns and net inflows into hedge funds is employed to assess whether the flows of funds into the industry are dynamically related to returns. The econometric model is used to estimate expected flows and expected returns as...

The article investigates the statistical features of the US OIS spreads term structure during the recent financial turmoil, originating from the subprime crisis and the ensuing euro area sovereign debt crisis. By means of a comprehensive econometric modelling strategy, new insights on US money...

In this article, a small-scale macroeconomic system is estimated in the framework of a common trends model, in order to explore the dynamic interactions between real house prices, consumption expenditure and output in the US and major European economies. The results point to important...

In this article a realized regression version of the Britten-Jones (BJ, 1999) portfolio selection approach is proposed, yielding a conditional mean-variance efficient portfolio selection strategy. Application to euro area stock markets diversification, differently from other standard approaches,...

What explains the cross section of expected returns for the 25 size/value Fama-French (FF) portfolios? It is found that modelling time-varying betas is important to explain the cross section of expected returns, as well as to comply with the time series restriction on Jensen-alpha. Support for a...