The Faust-Leeper paper is wild and wonderful. The friend who emailed it said, "Be prepared, it’s very different but a great picture of real-time forecasting..." He got it right.Actually his full email was, "Be prepared, it’s very differe...
The Faust-Leeper paper is wild and wonderful. The friend who emailed it said, "Be prepared, it’s very different but a great picture of real-time forecasting..." He got it right.Actually his full email was, "Be prepared, it’s very differe...
Jens Christensen will give a Euro-Area Business Cycle Network three-day course at EUI, September 7-9. Jens is fantastic. Plus it's Florence in early September. It's not too late to register!Course SyllabusRecommended Reading ListCourse ScheduleLis...
Riccardo Rebonato (R) has a fascinating new paper, which builds on important earlier work of Cieslak and Povala (2010) (CP). The cool thing about CP is the way it advances and blends certain aspects of both the spanning literature ("all infor...
I'm at the IMF soon for a couple days of lecturing on Diebold-Yilmaz's Connectedness. It was published earlier this year, and preparing for the IMF jogged my memory: I brilliantly forgot to announce it in a No Hesitations post. Anyway, it's available a...
I am reminded that I had planned to post on data/analysis sites that focus on financial asset return volatility measurement and modeling.To my mind, the key trio is implied vol, GARCH vol, and realized vol. For implied vol it's the VIX at CBO...
Loved last week's PIER lectures at Penn. Good people, good times, good spring weather. (Please join us next year in May 2016! More information in due course.) On Thursday we did yield curves, which had me thinking about what's new that I lik...
Program looking good: https://www.conftool.net/timeseries2015/sessions.php. Presumably papers will be posted, or at least you can email the authors.
I'm baaaaaack...Speaking of being back, I'm just back from the Rob Engle / NYU Volatility Institute Annual Conference. (Well, more or less just back.) Great people, great science, tightly-focused on a fascinating and timely area, the bond market ...
For my Chinese readers:A Chinese version of the Diebold-Doherty-Herring risk management book just appeared. Interesting surprise. I knew nothing about it until it arrived in the snail mail, just as with the earlier Chinese version of the Dieb...
An earlier post, "Big Data the Big Hassle," waxed negative. So let me now give credit where credit is due.What's true in time-series econometrics is that it's very hard to list the third-most-important, or even second-most-important, contribution of Bi...
