The distributions of Treasury security yields, returns, and volatility play critical roles in finance theory, and there are many papers that characterize features of these distributions. Our aim is to extend earlier work on short-term dependence of these by documenting and measuring long-range...

An enduring problem in international finance is forward premium bias. Forward rates consistently provide biased estimates of future exchange rate movements. Some attack the rationality assumption for the foreign exchange market, claiming the forward premium may reflect irrational expectations of...