The IRS's audit enforcement policy is based on the principle that audits deter taxpayers from cheating and therefore increase voluntary tax compliance. For more than forty years, however, there has been considerable debate over whether higher audit rates actually contribute to increased...

With the exception of naive methods for portfolio selection, such as the equal weighted approaches, all other methods of portfolio allocation are more or less sensitive to the quality of the inputs considered in constructing the models and risk measures utilised in the allocation framework. The...

The Fisher relation is a key theoretical relation that underlies many important results in economics and finance. Although the Fisher relation is apparently simple in theory, empirical analyses of the relation have mixed and weak results. We consider the possibility that weakness of the evidence...

This paper studies the return behaviour at National Stock Exchange, India and the Rupee-Dollar exchange rate, using NSE's Nifty as the benchmark for stock returns, while INR-USD rate is used as the benchmark for exchange rate. The daily closing levels of the two benchmarks for a period beginning...

Full paper available at: "https://ssrn.com/abstract=2840730" https://ssrn.com/abstract=2840730This supplementary material to "Which Risk Factors Drive Oil Futures Price Curves?" includes the derivation of the futures price expression, details of the Kalman Filter utilised, and the equation for...

Supplementary material available at: "https://ssrn.com/abstract=3312707" https://ssrn.com/abstract=3312707We develop extensions that introduce regression structure to the multi-factor stochastic models of commodity futures price term structure dynamics. We demonstrate the accuracy with which...

This paper studies a class of exponential family models whose canonical parameters are specified as linear functionals of an unknown infinite-dimensional slope function. The optimal minimax rates of convergence for slope function estimation are established. The estimators that achieve the...

This paper focuses on forecasting quarterly energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially informative quarterly macroeconomic variables for the 33 largest economies,...

This paper investigates the relationship between the yield curve and macroeconomic factors for ten emerging sovereign bond markets using the sample from January 2006 to April 2019. To this end, the diffusion indices obtained under four categories (global variables, inflation, domestic financial...