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Persistent link: https://www.econbiz.de/10012198434
We re-examine the market efficiency of commodity futures using a new approach that accounts for both time-varying risk premium and conditional heteroscedasticity of spot prices. The conventional market efficiency tests so far in the literature are based on either risk neutral or constant risk...
Persistent link: https://www.econbiz.de/10013064370
Using a large number of predictors and based on an extended iterated combination approach of Lin, Wu, and Zhou (2017), we document both statistical and economic significance of Treasury bond return predictability. Macroeconomic and aggregate liquidity variables contain predictive information for...
Persistent link: https://www.econbiz.de/10012913992
Persistent link: https://www.econbiz.de/10015062172