Recent research demonstrates the importance of modeling intraday dynamic price relationships using high-frequency transactions data as simultaneous equations models to account for simultaneity in futures and spot prices. Motivated by theoretical and econometric considerations, this paper...

The belief that excess returns can be achieved by correctly timing changes in yields and/or yield spreads motivates active bond portfolio management strategies. Given the rich literature linking yield spread patterns to both the business cycle and changes in short-term interest rates, we...

In 1997, the U.S. Treasury introduced Inflation Protected Securities, commonly known as TIPS. Several in the finance field have since described these securities as quot;tax disadvantagedquot; relative to conventional securities, leading to serious questions regarding their appropriateness...