The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...

We develop an econometric methodology to infer the path of risk premia from large unbalanced panel of individual stock returns. We estimate the time-varying risk premia implied by conditional linear asset pricing models where the conditioning includes instruments common to all assets and asset...

We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....

This paper proposes estimating β in the capital asset pricing model (CAPM) using a functional data analysis approach. After explicitly deriving parameter estimates and a prediction function for a functional CAPM, this paper compares the predictive power of the functional CAPM against two...

The existing empirical literature on Taylor-type interest rate rules has failed to achieve a robust consensus. Indeed, the relatively common finding that the Taylor principle does not hold has fueled a degree of controversy in the field. We attribute these mixed estimation results to a raft of...

The persistence property of inflation is an important issue for not only economists, but, especially for central banks, given that the degree of inflation persistence determines the extent to which central banks can control inflation. Further, not only is the level of inflation persistence that...