This paper investigates the importance of U.S. macroeconomic news in driving low-frequency fluctuations in the term structure of interest rates in Canada, Sweden, and the[...]

We introduce generalized autoregressive positive-valued (GARP) processes, a class of autoregressive and moving-average processes that extends the class of existing autore[...]

We introduce generalized autoregressive positive-valued (GARP) processes, a class of autoregressive and moving-average processes that extends the class of existing autore[...]

We build a model of bond yields in an economy with secular changes to inflation, real rate, and output growth. Long-run restrictions identify nominal shocks that do not i[...]

Replication files for peer-reviewed article published in Management Science. Paper published online January 26, 2022. When citing this dataset, please also cite the assoc[...]

We introduce a new framework that facilitates term structure modeling with both positive interest rates and flexible time series dynamics but that is also tractable, mean[...]

We estimate a continuous-time model for the stock market index where the stochastic volatility and crash probability depend on the realized spot variance and the stock ma[...]

Supplemental materials for peer-reviewed article published in Studies in Nonlinear Dynamics & Econometrics. Paper published online January 23, 2020. When citing this [...]

The Federal Reserve target rate has a lower bound. Changes to the target rate occur with discrete increments. Using out-of-sample forecasts of the target rate, we evaluat[...]

We document that the term structures of risk-neutral expected loss and gain uncertainty on S&P 500 returns are upward sloping on average. These shapes mainly reflect [...]