We find evidence of antipersistence in returns and dividend growth, while the price-dividend ratio appears to exhibit nonstationary long memory, which seems contradictory in the present-value context. We reconcile these findings by showing that the aggregation of antipersistent expected dividend...

We advocate the use of excess returns rather than yields or log prices in analysing the risk neutral dynamics of the term structure. We show that under standard assumptions, excess returns are affine in the risk neutral innovations in the factors. This framework has several important advantages....

We develop a Gaussian discrete time essentially affine term structure model with long memory state variables. This feature reconciles the strong persistence observed in nominal yields and inflation with the theoretical implications of affine models, especially for long maturities. We...

Linear estimators of the affine term structure model are inconsistent since they cannot reproduce the factors used in estimation. This is a serious handicap empirically, giving a worse fit than the conventional MLE estimator that ensures consistency. We show that a simple self-consistent...

We examine the impact of the actual purchases of Treasury securities by the Federal Reserve on the Treasury yields. Using structural stability tests we find significant breaks in the relation between these variables. We find that in the zero lower bound period following the first phase of...

The classic 'logistic' model has provided a realistic model of the behaviour of Covid-19 in China and many East Asian countries. Once these countries passed the peak, the daily case count fell back, mirroring its initial climb in a symmetric way, just as the classic model predicts. However, in...