securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of … the S&P 500 at the end of each month in real time, using rolling windows of size 60. Statistically significant evidence …

diagnostics when applied to the post 2007 period that includes the recent financial crisis …

government bonds and four commodities over the period 1991-2007. The empirical evidence supports the use of 'thick' model …

effect of shocks using generalised spatio-temporal impulse responses. These highlight the diffusion of shocks both over time …

. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … for by the real common factor, which is proportional to world growth in our empirical model and linked to the risk …-free rate. Second, the share of volatility forecast error variance explained by the real common factor and by country …

the monetary policy shocks, and consider the time profiles of their effects on the euro area. To this end we include the …