The expectations hypothesis of the term structure of interest rates implies that the spread between short and long bond yields should forecast next period's change in the long yield. Regression based tests have systematically rejected the expectations hypothesis, with estimated coefficients far...

A number of volatility forecasting studies have led to the perception that the ARCH- and Stochastic Volatility-type models provide poor out-of-sample forecasts of volatility. This is primarily based on the use of traditional forecast evaluation criteria concerning the accuracy and the...

Empirical tests of the expectations hypothesis of the term structure hage almost without exception been tests of the time-series properties of interest rates. However, the expectations hypothesis has implications not just for the yield movement of a single pair of bond maturities over a number...

In this paper we introduce a unit root test for dynamic panel data models, allowing for cross-sectional heteroscedasticity and serial correlation in the disturbance term. The limiting distribution of the test statistic is derived under the assumption that the time dimension of the panel is...