In this paper we study international linkages when forecasting unemployment rates in a sample of 24 OECD economies. We … propose a Global Unemployment Factor (GUF) and test its predictive ability considering in-sample and out-of-sample exercises … information to predict domestic unemployment rates, at least for these last seven countries …

, the model is applied to postwar monthly US unemployment series and we discover a significantly periodic cycle. Furthermore …, a comparison is made between the performance of the periodic unobserved components time series model and a periodic …

We provide a comparison of several GARCH and stochastic volatility models for forecasting the risk of cryptocurrencies …

Kalman filter, adapted for models with diffuse initial conditions. We apply our model to UK travel data and US unemployment …

developing the limit theory of statistics of Dickey and Fuller Hasza [DHF] (1984) when the data are generated by a non … asymptotic theory of the statistics subsumed in the HEGY procedure. In this paper, I show that establishing the limit theory of F …