This paper investigates the role of currency denomination in the the intertemporal risk-return relation among G7 countries. Similar to the findings of previous studies, our estimation also shows that the financial markets of the G7 countries are integrated. We obtain significant pricing...

Due to the near unit-root behavior of interest rates, the movements of individual interest-rate series are inherently difficult to forecast. In this paper, we propose an innovative way of applying dynamic term structure models to forecast interest-rate movements. Instead of directly forecasting...

This paper investigates the significance of an intertemporal relation between expected returns on countries' stock market portfolios and their risk exposures to the world market portfolio. We find that the intertemporal risk-return relation differs significantly under different currency...