The United States has extended the duration that unemployment insurance (UI) benefits can be received during every recession in the last half century. In the recession of the early 1990s and 2000s Congress extended UI benefits by 27 and 20 weeks respectively, at a cost of $37.1 and $23.4 billion...

The standard vector error correction (VEC) model assumes the iid normal distribution of disturbance term in the model. This paper extends this assumption to include GARCH process. We call this model as VEC-GARCH model. However as the number of parameters in a VEC-GARCH model is large, the...

This paper evaluates if and how speculation affects the volatility of commodity futures: it distinguishes between short term and long term measures of speculation and investigates if the impact on volatility is different. Speculation is measured by means of four indexes: scalping, Working’s T,...

Options should play an important role in asset allocation. They allow for kernel spanning and provide access to additional (priced) risk factors such as stochastic volatility and negative jumps. Unfortunately, traditional methods of asset allocation (e.g. mean-variance optimization) are not...

This paper examines how globalisation has affected the transmission between changes in the policy rate and the term structure of interest rates. We …first estimate a cointegrated VAR model of the US daily term structure of interest rates. We then estimate the model using monthly data to allow...