We analyse spillovers between the real and financial sides of the US economy allowing for differences in sampling frequency between financial and macroeconomic data. We show that financial markets are typically net transmitters of shocks to the real side of the economy, particularly during...

We develop a new methodology to analyse spillovers between the real and financial sides of the economy that employs a mixed-frequency modelling approach. This enables high-frequency financial and low-frequency macroeconomic data series to be employed directly, avoiding the data aggregation and...

This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing investment constraints improves the investment opportunity set for risk averse investors. We develop a test procedure for 'stochastic spanning' for two nested polyhedral portfolio...

This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing investment constraints improves the investment opportunity set for risk averse investors. We develop a test procedure for ‘stochastic spanning’ for two nested polyhedral...

This study develops and implements methods for analyzing whether introducing new securities or relaxing investment constraints improves the investment opportunity set for risk averse investors. We develop a statistical test procedure for ‘stochastic spanning' for two nested polyhedral...