Many finance questions require a full characterization of the distribution of returns. We propose a bivariate model of returns and realized volatility (RV), and explore which features of that time-series model contribute to superior density forecasts over horizons of 1 to 60 days out of sample....

This paper provides a Bayesian analysis of Autoregressive Fractionally Integrated Moving Average (ARFIMA) models. We discuss in detail inference on impulse responses, and show how Bayesian methods can be used to (i) test ARFIMA models against ARIMA alternatives, and (ii) take model uncertainty...

The belief that elections reduce rent seeking by government officials is widely held, likewise the belief that rent seeking decreases as elections are less subject to corruption. In this paper we develop and test a model in which these beliefs are carefully examined. Our model indicates that,...

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Agricultural exports have been touted by a number of economists as having important potential to alleviate rural poverty, and poverty more generally since much of it is rural, in developing countries. The logic of this view lies in the ideas that (a) many agricultural export products are...

Using a sample of rural Chines villages which have recently been the subject of democratic reforms we look for the relationship between marginal changes in the democratic process and marginal changes in economic outcomes. We find that even very poorly conducted elections can have large incentive...