Macroeconomics and financial markets

 

• Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates
  Hans Dewachter and Marco Lyrio 
  Asset Pricing and Monetary Policy, (2006), ed. John Campbell, forthcoming

• Macro Factors and the Term Strucure of Interest Rates
  Hans Dewachter and Marco Lyrio 
  Journal of Money, Credit, and Banking

• A Joint Model for the the Term Structure of Interest Rates and the Macroeconomy
  Hans Dewachter, Marco Lyrio and Konstantijn Maes
  Forthcoming in the Journal of Applied Econometrics 

International finance

• Robust Estimation of Jensen's Alpha
  Hans Dewachter, Dirk Hoorelbeke and Kristien Smedts

• Limits to International Arbitrage: An Empirical Evaluation
  Hans Dewachter and Kristien Smedts

Technical trading rules

• The Cost of Technical Trading Rules in the FOREX Market: A Utility-based Evaluation
  Hans Dewachter and Marco Lyrio
  Revised version forthcoming in the Journal of International Money and Finance

• The Economic Value of Technical Trading Rules: A Nonparametric Utility-based Approach
  Hans Dewachter and Marco Lyrio
  International Journal of Finance and Economics