Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...

In this research note we report on our current efforts on developing a leading indicator of housing prices that could be used to forecast housing prices. Specifically we use Google search index at city level to predict Case-Shiller index. The methodology is based on Granger causality where we...

Forward rates in the money market are systematically higher than realised spot rates, reflecting an unobservable term premium. This paper uses a Kalman filter specification to produce time-varying estimates of the term premia in New Zealand and Australia. Three time series specifications are...

This paper seeks to investigate the connectivity of the US economy through the dynamics of the transmission of volatility in sectoral indices. For this, we use daily asset data and two methodologies. The first creates a spillover index that measures market connectivity and the second partitions...