This paper explores the usefulness of currency futures-spot basis in predicting spot rate changes and currency futures returns. We conjecture that the currency risk premium may be an important component of the basis for long-maturity futures contracts, but may not be so for short-maturities....

We construct an international term structure model that has excellent empirical performance in tracking movements of exchange rates and currency returns. The forward premium puzzle is accounted for, yet the model does not have the undesirable properties found in Backus et al. (J. Finance 56...

Our evidence indicates that insiders' trades provide significant new information to market participants and they are incorporated more fully in stock prices as compared to non-insiders' trades. We find that market professionals do not front-run insiders' trades. Both insiders' purchases and...

Backcalculation is a technique that was originally developed for the study of HIV incidence. Here we introduce some variants of the estimation technique that allow for (i) correlation of the unobserved disease incidence counts, and (ii) the use of a smoothing step as part of the maximizing step...

This paper develops consistent model and moment selection criteria for GMM estimation. The criteria select the correct model specification and all correct moment conditions asymptotically. The selection criteria resemble the widely used likelihood-based selection criteria BIC, HQIC, and AIC....