normal and Student t innovations, and decompose them into skewness and kurtosis components, from which we obtain more …We analyse the Generalised Hyperbolic distribution adequacy to model kurtosis and asymmetries in multivariate …

This Paper develops a test of contagion in financial markets based on bivariate correlation analysis, which generalizes … existing tests, and applies it to the international effects of the Hong Kong stock market crisis of October 1997. Contagion is … country-specific shocks in Hong Kong, our test finds evidence of contagion for 5 countries out of a sample of 17. This is in …

in forecasting the price of oil? How useful are survey forecasts? How does one evaluate the sensitivity of a baseline oil …We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need … specifications? Are real or nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into …

forecasting equation improves the forecasting performance of the spread for future output but the coefficients on the short rate … spread helps in forecasting output and the structural evidence on the difficulties of estimating the effect of monetary … policy on output in an intertemporal Euler equation. We show that including a short-term interest rate and inflation in the …

correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non … likely than in bond markets. Moreover, stock-bond contagion is about as frequent as flight to quality from stocks into bonds …

In this paper an ex-post forecasting experiment is performed on the basis of a version of the "news" model of exchange … forecasting rule. Thus, the evidence presented in this paper supports the argument that the 1983 finding by Meese and Rogoff (that … structural models do not even outperform the random walk in an ex post forecasting experiment) may be due to the fact that the …

market-based measures of expectations are similar to survey-based forecasts although the market-based measures somewhat more … accuracy of market-generated probability density forecasts. A consistent theme is that few of the behavioural anomalies present … in surveys of professional forecasts survive in equilibrium, and that these markets are remarkably well calibrated …

of point forecasts, our proposal is comparable to alternative econometric methods and survey forecasts. In addition, it …