Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July
1959 to December 2004 based on an equally-weighted index. They found that fully …

Investors face significant barriers in evaluating the performance of investment advisors. We
focus on commodity trading advisors (CTAs) and show that from 1994 to 2012, CTA excess …

Measured over long horizons, the correlation between stocks and commodities is close to
zero. However, it varies widely over time. Using historical data extending back to 1960 we …

This paper offers evidence on the design of subprime mortgages as bridge-financing
products. We show that the viability of subprime mortgages was uniquely predicated on the …

This paper addresses the notion that many fractional I(d) processes may fall into the “empty
box” category, as discussed in Granger (Aspects of research strategies for time series …

The authors examine the behavior of monthly commodity futures returns over the decade
since 2004 when new investor inflows entered the asset class. The main findings are that …

A metric of credit score performance is developed to study the usage and performance of
credit scoring in the loan origination process. We examine the performance of origination FICO …

This article makes two contributions. First, we outline a simple simulation-based framework
for constructing conditional distributions for multifactor and multidimensional diffusion …

This paper demonstrates that the reason for widespread default of mortgages in the subprime
market was a sudden reversal in the house price appreciation of the early 2000's. Using …

Using a novel comprehensive database of 230 commodity futures that traded between 1871
and 2018, we document that futures prices have on average been set at a discount to future …