This paper studies price discovery in Nikkei 225 markets through the nonlinear smooth transition price adjustments between spot and future prices and across all three futures markets. We test for smooth transition nonlinearity and employ an exponential smooth transition error correction model...

This paper illustrates the importance of density forecasting in portfolio decision making involving bonds of different maturities. The forecast performance of an atheoretic and a theory informed model of bond returns is evaluated. The decision making environment is fully described for an...

In this paper, we evaluate the forecast performance of a range of atheoretic and theory informed models of bond and stock returns. The decision making environment is fully described for an investor who would like to optimally allocate his portfolio between bonds and stocks, over an investment...