This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

This paper examines if overreaction of oil price forecasters is affected by uncertainty. Furthermore, it takes into account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model from Gonz alez et al. (2005) is applied with univariate...

The Bank of Korea and the Bank for International Settlements (BIS) co-hosted a conference on "Asia-Pacific fixed income markets: evolving structure, participation and pricing" on 19-20 November 2018 in Seoul, Korea. The conference marked the completion of the BIS Asian Office's two-year research...