We propose a new method to improve density forecasts of the equity premium using information from options markets. We obtain predictive densities from stochastic volatility (SV) and GARCH models, which we then tilt using the second moment of the risk-neutral distribution implied by options...

We study the relationship between water nutrient pollution and U.S. agriculture using data between the early 1970s and late 2010s. We estimate a positive causal effect of corn acreage on nitrogen concentration in the country's water bodies using alternative empirical approaches. We find that a...

We introduce a state-space representation for vector autoregressive moving-average models that enables maximum likelihood estimation using the EM algorithm. We obtain closed-form expressions for both the E- and M-steps; the former requires the Kalman filter and a fixed-interval smoother, and the...

We test the efficiency of the California electricity reserves market by examining systematic differences between its day- and hour-ahead prices. We uncover significant day-ahead premia, which we attribute to market design characteristics. On the demand side, the market design established a...