The expectation of the excess holding yield on a long bond is postulated to depend upon its
conditional variance. Engle's (1982a) ARCH model is extended to allow the conditional …

The time series of forecast errors and forecast variances estimated from Engle's ARCH
model are used to estimate the relationship between the volatility of inflation and key …

We examine the implications of allowing lags into forecast combination regressions, thereby
extending previous models. The practical conclusion is that lagged dependent variables, …

This article examines the power of tests of given size to detect and distinguish between
wealth (ie, mean) and information (ie, variance) effects in event studies. We find that an …

Extracellular vesicles (EVs) are secreted nanosized particles with many biological functions
and pathological associations. The inability to image EVs in fixed tissues has been a major …

Before 1975, the mean weekend rate of return on the equal-weight (value-weight) stock
market portfolio is significant− 18bp (− 19bp). After 1975, it is insignificant− 5bp (− 1bp). This …

We produce convincing new evidence that the turn of the year (TOY), turn of the month (TOM),
and January effects are critically dependent on the sample period over which they are …

This exercise helps instructors teach students how to perform a simple event study. The study
tests to see if stocks earn abnormal returns when added to the S&P 500. Students select a …

The stochastic properties of discretely rebalanced option hedges have been studied
extensively beginning with Black and Scholes (1973). In each analysis hedges were “delta-neutral” …

There are occasions when researchers are interested in quarterly forecasts of variables that
are released at higher frequencies. In these situations it is common for researchers to …