We analyze the role of macroeconomic fundamentals for the term structure of sovereign bond yields. We take a structured economic news flow approach to obtain a continuously updated measure of fundamentals and focus on a sample with large variation in economic conditions, specifically the...

We examine the effect of regularly scheduled macroeconomic announcements on the beliefs and preferences of participants in the U. S. Treasury market by comparing the option-implied state-price density (SPD) of bond prices shortly before and after the announcements. We find that the announcements...

We extend range-based volatility estimation to the multivariate case. In particular, we propose a range-based covariance estimator motivated by a key financial economic consideration, the absence of arbitrage, in addition to statistical considerations. We show that this estimator is highly...

We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) can account for as much as 26 percent of the day-to-day variation in...

We present a simulation-based method for solving realistic portfolio choice problems that potentially involve non-standard preferences and a large number of assets with arbitrary return distribution. Specifically, the return distribution can be time-varying as a function of many observable or...

We propose using the price range in the estimation of stochastic volatility models. We show theoretically, numerically, and empirically that the range is not only a highly efficient volatility proxy, but also that it is approximately Gaussian and robust to microstructure noise. The good...

We study asset allocation when the conditional moments of returns are partly predictable. Rather than first model the return distribution and subsequently characterize the portfolio choice, we determine directly the dependence of the optimal portfolio weights on the predictive variables. We...

We develop and empirically explore a model of the term structure that captures as well as possible the time-series dynamics of a set of state variables and fits exactly the date-to-date cross-sections of bond prices. We construct our model in two stages. In the first stage we use a flexible...

Investors rebalance their portfolios as their views about expected returns and risk change. We use empirical measures of portfolio rebalancing to back out investors' views, specifically their views about the state of the economy. We show that aggregate portfolio rebalancing across equity sectors...

Investors rebalance their portfolios as their views about expected returns and risk change. We use empirical measures of portfolio rebalancing to back out investors' views, specifically views about the state of the economy. We show that aggregate portfolio rebalancing across equity sectors is...