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This paper uses the flexible approach of Hamilton (2001) to investigate the nature of nonlinearities in the term structure. The paper reports clear evidence of nonlinearity, in contrast to the affine term structure model and consistent with recent claims in the literature. We find that there is a threshold effect of volatility on the interest rate but this… (More)
BACKGROUND Emergence of castration-resistance in prostate cancer (PCa) is invariably associated with aggressive and metastatic disease. Previously, we reported promotion of castration-resistance upon downregulation of PPP2CA (encoding catalytic subunit of protein phosphatase 2A (PP2A), α-isoform); however, its role in PCa growth and metastasis remained… (More)
We systematically examine the comparative predictive performance of a number of alternative non-linear models for stock and bond returns in the G7 countries. Besides, Markov switching, threshold, and smooth transition regime switching (predictive) regression models, we also estimate univariate models in which conditional heteroskedasticity is captured… (More)
Bank of Ireland. The views expressed in this paper are the personal responsibility of the authors and are not necessarily held either by the Central Bank of Ireland or by the ESCB. The authors would like to thank John Frain and Richard Harris for helpful comments. All errors and omissions are the authors'. Comments and criticisms are welcome.
1. " Investigating sources of unanticipated exposure in industry stock returns " , forthcoming, Journal of Banking and Finance, (with D.P. Bredin). 2. " Simple VARs cannot approximate optimal markov switching asset allocation decisions: A recursive out-of-7. " Non-linear predictability in stock and bond returns: When and where is it exploitable?
In this paper, we investigate the response of stock returns at an industry level to macroeconomic shocks for the UK, Germany and France. The betas between the stock returns and the macroeconomic factors provide a metric for the markets view of the homogeneity of industry response to the various macroeconomic shocks. We find that the market seems to focus on… (More)