We evaluate the forecasting performance of time series models for realized volatility, which
accommodate long memory, level shifts, leverage effects, day-of-the-week and holiday effects…

This article investigates the merits of high-frequency intraday data when forming mean-variance
efficient stock portfolios with daily rebalancing from the individual constituents of the …

In this paper I examine various extensions of the Nelson and Siegel (1987) model with the
purpose of fitting and forecasting the term structure of interest rates. As expected, I find that …

We examine the importance of incorporating macroeconomic information and, in particular,
accounting for model uncertainty when forecasting the term structure of US interest rates. We …

To “ensure depth and liquidity,” the European Central Bank intervened in sovereign debt
markets through its Securities Markets Programme (SMP), providing a unique opportunity to …

This note presents a broad-brush overview of some of the salient issues on this topic and
provides our sense of the answers to some key questions. We start by sketching out a simple …

Monetary policy uncertainty affects the transmission of monetary policy shocks to longer-term
nominal and real yields. For a given monetary policy shock, the reaction of yields is more …

In this paper, we consider whether long-term inflation expectations have become better
anchored in Brazil, Chile, and Mexico. We do so using survey-based measures as well as …

The sum of squared intraday returns provides an unbiased and almost error-free measure
of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally …

The subject of measuring the performance of registries has been a topic of policy discussions
in recent years at the regional level due to the recasting of the European Union (EU) port …