This paper documents the asset pricing implications of the data release process of National Income and Product Accounts (NIPA) consumption expenditure. We show that initial consumption data releases are more suitable for asset pricing than final revised releases. This is because most revisions...

We show that improved hedging of bond portfolios can be achieved by matching generalized durations that are parametrized according to a parsimonious yield curve shape which is dynamically consistent with a new term structure model with stochastic level, slope, and curvature factors. Performance...

We introduce extensions of the Realized Exponential GARCH model (REGARCH) that capture the evident high persistence typically observed in measures of financial market volatility in a tractable fashion. The extensions decompose conditional variance into a short-term and a long-term component. The...