The purpose of this paper is to evaluate the ability of dividend ratios to predict the UK equity premium. Specifically, we apply the Goyal and Welch (2003) methodology to equity premia derived from the UK FTSE All-Share index. This approach provides a powerful graphical diagnostic for predictive...

The aim of this paper is to deal with the empirical aspects of the ‘new’ monetary policy framework, known as Inflation Targeting. Applying Intervention Analysis to multivariate Structural Time Series models, new empirical evidence is produced in the case of a number of OECD...

This paper focuses on forecasting volatility of high frequency Euro exchange rates. Four 15 minute frequency Euro exchange rate series, including Euro/CHF, Euro/GBP, Euro/JPY and Euro/USD, are used to test the forecast performance of six models, including both traditional time series volatility...