We investigate the relationship between consumption and the term structure using UK interest rate data. We demonstrate that the term structure contains information about future economic activity since the yield spread has forecasting power for future consumption growth. Further we analyze the...

On an international post World War II dataset, we use an iterated GMM procedure to estimate and test the Campbell and Cochrane (1999) habit formation model with a time-varying risk-free rate. In addition, we analyze the predictive power of the surplus consumption ratio for future stock and bond...

We propose methods for estimating the effective bid-ask spread and classifying trades without access to quotes compatible with the conceptual framework for uncovering trading intentions outlined in Easley, Lopez de Prado, and O'Hara (2016). Our state-space approach accommodates informational...

We systematically examine the comparative predictive performance of a number of linear and non-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regime switching models, we also...

The European Union Emissions Trading Scheme is the key policy instrument of the European Commission's Climate Change Program aimed at reducing greenhouse gas emissions to 8% below 1990 levels by 2012. The key asset traded under the scheme is the European Union allowance (EUA). This article...