This paper analyzes and compares range-based and return-based variance/covariance
estimates. We provide new results on the relative efficiency of the range. We show that the use …

This paper estimates yield curve models for the UK, where the underlying determinants
have a macroeconomic interpretation. The first factor is an unobserved inflation target, the …

This paper examines the question of whether the ability of market interest rates to predict
future policy rate changes in the United Kingdom has changed markedly over the period 1975-…

The aim of this article is to model the dynamic evolution of daily price ranges for two foreign
exchange rates, CHF/USD and USD/GBP Following Engle (2002) and Chou (2005), we …

Long-horizon interest rates in the major international bond markets fell sharply during 2004
and 2005, at the same time as US policy rates were rising; a phenomenon famously …

The aim of this paper is to model the dynamic evolution of daily log-price ranges for two
foreign exchange rates, SF/USD and USD/GBP. Following Chou (2001), we adopt the CARR …

The purpose of this paper is to characterize three commonly used double unit root tests in
terms of their asymptotic local power. To this end, we study a class of nearly doubly integrated …

This paper analyses the UK interest rate term structure over the period since October 1992,
when the United Kingdom adopted an explicit inflation target, using an affine term structure …

During 2004 and 2005, long-horizon interest rates fell sharply in major international government
bond markets (Greenspan's “conundrum”). This common fall mainly reflected lower long …

Ot| iBW| Frequently, seasonal and non-seasonal data (especially macro time series) are
observed with noise. For instance, the time series can have irregular abrupt changes and …