This paper analyses a stochastic international growth model with money and country-specific forcing processes to productivity and money growth rates. Monies are required, owing to cash-in-advance constraints for consumption goods, but the liquidity constraints need not be binding for all...

This article proposes a flexible but parsimonious specification of the joint dynamics of market risk and return to produce forecasts of a time-varying market equity premium. Our parsimonious volatility model allows components to decay at different rates, generates mean-reverting forecasts, and...

This paper investigates nonlinear features of FX volatility dynamics using estimates of daily volatility based on the sum of intraday squared returns. Measurement errors associated with using realized volatility to estimate ex post latent volatility imply that standard time series models of the...