Tags Collateral

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Financial econometrics and machine learning

Supervised machine learning enhances the econometric toolbox by methods that find functional forms of prediction models in a manner that optimizes out-of-sample forecasting. It...

FX forward returns: basic empirical lessons

FX forward returns for 29 floating and convertible currencies since 1999 provide important empirical lessons. First, the long-term performance of FX returns has been...

Treasury yield curve and macro trends

There is a strong logical and empirical link between the U.S. Treasury yield curve and long-term economic trends, particularly expected inflation and the equilibrium...