This paper considers the uncertainty associated with upcoming Federal Open Market Committee (FOMC) announcements and the extent to which participants in the fed funds futures market prepare for such announcements before they actually occur. We demonstrate that markets set up well in advance of...

Literature studying comovement in commodity prices provides mixed evidence for whether commodity markets are segmented or driven by common factors. We provide a joint framework to study comovement across 24 of the most traded commodities over 20 years. The framework benefits from using the whole...

Existing studies on interest rate forecasting either treat yields as being stationary around a fixed mean or as a random walk process. In this study we consider forecasting the term structure of interest rates with the assumption that the yield curve is driven by factors that are stationary...

This paper considers the uncertainty associated with upcoming Federal Open Market Committee (FOMC) announcements and the extent to which the market begins to set up for such announcements well before they actually occur. We demonstrate that markets set up well in advance of known announcement...