Publisher Summary The quest for understanding what moves bond yields has produced an
enormous literature with its own journals and graduate courses. Those who want to join the …

Corporate cash flows are highly volatile and strongly procyclical. We examine the asset-
pricing implications of the sensitivity of corporate cash flows to economic shocks within a …

We establish an empirical link between the ex-ante uncertainty about macroeconomic
fundamentals and the ex-post resolution of this uncertainty in financial markets. We measure …

Related US Application Data is a continuation of application No. 10/252,761, filed on Sep.
23, 2002, now Pat. No. 7,117,175, application No. 12/554.961, which is a continuation-in …

This methodological paper presents a class of stochastic processes with appealing
properties for theoretical or empirical work in finance and macroeconomics, the" linearity …

Nonlinearity is an important consideration in many problems of finance and economics, such
as pricing securities and solving equilibrium models. This article provides analytical …

How does stock market volatility relate to the business cycle? We develop, and estimate, a
no-arbitrage model to study the cyclical properties of stock volatility and the risk-premiums …

A system, method and computer program product creates an index based on accounting
data, or a portfolio of financial objects based on the index where the portfolio is weighted …

We analyze the correlation between the stock and bond markets in Germany and the US.
We use a standard no-arbitrage affine model to decompose the correlation between these …

A system, method and computer program product creates an index based on accounting
based data, as well as a portfolio of financial objects based on the index where the portfolio …