In continuous time specifications, the prices of interest rate derivative securities depend crucially on the mean reversion parameter of the associated interest rate diffusion equation. This parameter is well known to be subject to estimation bias when standard methods like maximum likelihood...

This paper explores the history of inflation-indexed bond markets in the US and the UK. It documents a massive decline in long-term real interest rates from the 1990's until 2008, followed by a sudden spike in these rates during the financial crisis of 2008. Breakeven inflation rates, calculated...

The Multifractal Model of Asset Returns (See lt;a HREF=http://papers.ssrn.com/paper.taf?abstract_id=78588gt;Mandelbrot, Fisher, and Calvet, 1997lt;/Agt; ) proposes a class of multifractal processes for the modelling of financial returns. In that paper, multifractal processes are defined by a...

This paper presents the first empirical investigation of the Multifractal Model of Asset Returns (quot;MMARquot;). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997) (See Mandelbrot, Fisher, and Calvet, 1997 at the following URL: http://papers.ssrn.com/paper.taf?abstract_id=78588 ), is...

This paper presents the quot;multifractal model of asset returnsquot; (quot;MMARquot;), based upon the pioneering research into multifractal measures by Mandelbrot (1972, 1974). The multifractal model incorporates two elements of Mandelbrot's past research that are now well known in finance....

This paper begins with the expectations theory of the term structure of interest rates with constant term premia and then postulates how expectations of future short term interest rates are formed. Expectations depend in part on predictions from a set of VAR equations and in part on the current...

We prove that in competitive market economies with no insurance for idiosyncratic risks, agents will always overinvest in illiquid long term assets and underinvest in short term liquid assets. We take as our setting the seminal model of Diamond and Dybvig (1983), who first posed the question in...

Inversion of the yield curve has come to be viewed as a leading recession indicator. Unsurprisingly, some recent instances of inversion have attracted attention from economic commentators and policymakers about possible impending recessions. Using a variety of time series models and recent...

First difference maximum likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling because differencing eliminates fixed effects and, in the case of a unit root, differencing transforms the data to stationarity, thereby addressing both incidental parameter...

We provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification testing in time series regression with nonstationary data. The framework allows for linear and nonlinear models of cointegration and regressors that have autoregressive unit roots or...