This paper presents Monte Carlo simulations which compare the empirical performance of two alternative single equation estimators of the equilibrium parameters in a dynamic relationship. The estimators considered are Stock and Watson's dynamic ordinary least squares (DOLS) estimator and Bewley's...

Herein, I examine the secondary-market response of U.S. Treasury returns to pre-auction announcements of supply volumes and post-auction announcements of results from U.S. Treasury auctions during the declining-deficit period of the 1990s. Rate changes are found to differ significantly on...

I show that a congruent, parsimonious, encompassing model discovered using David Hendry's econometric modelling approach and Autometrics can overcome the many inadequacies of the typical static models of US Treasury returns regressed on macroeconomic announcements. The typical specification...

"This book examines the rapidly growing industry of "digital influence mercenaries"-shady online marketing firms and entrepreneurs who use online technologies to exploit the uncertainties, fears, and biases of their targets to gain profit and power. Students, researchers, policymakers, and the...

This study investigates the determinants of trading activity in the U.S. corporate bond market, focusing on the effects of Seasonal Affective Disorder (SAD) and macroeconomic announcements. Employing the General-to-Specific (Gets) Autometrics methodology, we identify distinct behavioral...