Dependence among large observations in equity markets is usually examined using second-moment models such as those from the GARCH or SV classes. Such models treat the entire set of returns, and tend to produce similar estimates on different major equity markets, with a sum of estimated GARCH...

We qualify some of the traditionally accepted results on the predictive power of the term spread over output. We show that in the case of short-term spreads, the direction of the predictive power may be the opposite to that usually found in the empirical literature, which has mostly rested on...