James J. Forest

University of Massachusetts - Amherst

PhD Candidate

Department of Finance

Amherst, MA 01003

United States

http://https://www.researchgate.net/profile/James_Forest2

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

The Effect of Treasury Auction Results on Interest Rates: The 1990s Experience

Number of pages: 40 Posted: 21 Sep 2009 Last Revised: 23 Mar 2018
James J. Forest
University of Massachusetts - Amherst
Downloads 315 (105,185)

Abstract:

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Treasury auctions, GARCH modeling, Interest rates, Volatility, Federal Reserve, Monetary policy, Macroeconomic announcements

2.

Alternative Estimators of Cointegrating Parameters in Models With Non-Stationary Data: An Application to US Export Demand

Number of pages: 20 Posted: 08 Aug 2009
James J. Forest and Paul Turner
University of Massachusetts - Amherst and Loughborough University - Department of Economics
Downloads 196 (169,436)

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DOLS estimator, Bewley transformation, US Export Demand

3.

The Effect of Macroeconomic Announcements on Credit Markets: An Autometric General-to-Specific Analysis of the Greenspan Era

Number of pages: 43 Posted: 23 Feb 2018
James J. Forest
University of Massachusetts - Amherst
Downloads 47 (433,725)

Abstract:

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US Treasury Market, General-to-Specific Modelling, Macroeconomic Announcements, LSE Approach, Encompassing, Bias Correction, Model Selection, Autometrics, Market Efficiency, EGARCH, Assymetric Garch