By Jensen's inequality, a model's forecasts of the variance and standard deviation of returns cannot both be unbiased. This paper explores the bias in GARCH type model forecasts of the standard deviation of returns, which we argue is the more appropriate volatility measure for most financial...

Exploring properties both of the EIA's natural gas and crude oil storage announcements and of analyst forecasts of the EIA storage figures, we find that analyst storage forecasts bring additional information to the market beyond seasonal patterns and past storage flows and that the market...

We examine the impact of the monthly Employment Situation Report issued by the Bureau of Labor Statistics (BLS) and of analyst forecasts of that report on U.S. Treasury securities market. Surprise increases in total non-farm payroll employment lead to increases in interest rates (especially 1-...