We employ a battery of model evaluation tests for a broad-set of GARCH-MIDAS models and account for data snooping bias. We document that inferences based on standard tests for GM variance components can be misleading. Our data mining free results show that the gains of macro-variables in...

In this paper we investigate whether the currency risk is priced in international stock markets. We suggest a parsimonious version of the international capital asset pricing model with an EGARCH-M(1,1) specification of the second moments' dynamics of stock and currency returns, assuming that the...

We estimate a range of New Keynesian import price models for Norway and the UK. Contrary to standard pass-through regression analysis, this approach allows us to make a distinction between the parameters in theoretical price-setting rules and parameters in the expectations mechanisms. We find...

In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...

In this paper we assess whether the relation between the corporate bond-yield spread and the real economy has been stable over time. Using quarterly US data from 1953Q1 to 2018Q2, we estimate Bayesian VAR models which allow for drifting parameters and/or stochastic volatility and conduct formal...

In this paper we analyze how skewness and heavy tails a ect the estimated relationship between the real economy and the corporate bond-yield spread, a popular predictor of real activity. We use quarterly US data to estimate Bayesian VAR models with stochastic volatility and various...

In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our specification permits flexible modelling of innovations in terms of...

A number of recent studies in the economics literature have focused on the usefulness of factor models in the context of prediction using big data. In this paper, our over-arching question is whether such big data are useful for modelling low frequency macroeconomic variables such as...

The low-risk anomaly challenges traditional financial theory by stating that less volatile stocks generate higher risk-adjusted returns. This paper explores how various portfolio construction choices influence the performance of low-risk portfolios. We show that methodological decisions...

The low-risk anomaly challenges traditional financial theory by stating that less volatile stocks generate higher risk-adjusted returns. This paper explores how various portfolio construction choices influence the performance of low-risk portfolios. We show that methodological decisions...