What explains the cross section of expected returns for the 25 size/value Fama-French (FF) portfolios? It is found that modelling time-varying betas is important to explain the cross section of expected returns, as well as to comply with the time series restriction on Jensen-alpha. Support for a...

Is there a short- to medium-term linkage between macroeconomic and exchange rate volatility? This paper provides a clear-cut answer to the above question, pointing to significant linkages and trade-offs between macroeconomic and exchange rate volatility, particularly involving output volatility....

In this paper we introduce a new common long memory factor model. The model allows to estimate the common persistent component in fractionally cointegrated processes. We find evidence of cobreaking and fractional cointegration in excess nominal money growth and inflation in the euro area, and...

This note corrects some typographical errors in my earlier manuscript.

This paper introduces a new long memory volatility process, denoted by adaptive FIGARCH, or A-FIGARCH , which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow the smooth...

What are the sources of macroeconomic comovement among G-7 countries? Two main candidate explanations may be singled out: common shocks and common transmission mechanisms. In the paper it is shown that they are complementary, rather than alternative, explanations. By means of a large-scale...

In this paper a new approach to factor vector autoregressive estimation, based on Stock and Watson (2005), is introduced. Relative to the Stock-Watson approach, the proposed method has the advantage of allowing for a more clear-cut interpretation of the global factors, as well as for the...

In this paper international comovements among a set of key real and nominal macroeconomic variables for the G-7 countries have been investigated for the 1980- 2005 period, using a Factor Vector Autoregressive approach. We present evidence that comovements in macroeconomic variables do not...

This paper introduces a new long memory volatility process, denoted by Adaptive <i>FIGARCH</i>, or <i>A-FIGARCH</i>, which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow a slowly varying...

In this paper international comovements among a set of key real and nominal macroeconomic variables in the US, UK, Canada, Japan and the Euro area have been investigated for the 1980-2005 period, using a factor vector autoregressive approach. We present evidence that comovements in macroeconomic...