Abstract This paper introduces an economically important new idea for detrending macroeconomic time series and examines the Spanish business cycle pattern with respect to potential asymmetries. To address difficulties in the trend and cycle decomposition, a nonparametric trend estimation...

The purpose of this book is to establish a connection between the traditional field of empirical economic research and the emerging area of empirical financial research, and to build a bridge between theoretical developments in these areas and their application in practice. Accordingly, it...

We propose a fast data-driven procedure for decomposing seasonal time series using the Berlin Method, the procedure used, e.g. by the German Federal Statistical Office in this context. The formula of the asymptotic optimal bandwidth <italic>h</italic> _A is obtained. Methods for estimating the unknowns in <italic>h</italic> _A are...

This paper extends the GARCH model to a wide class of nonstationary processes by proposing a semiparametric GARCH model for simultaneous modelling of conditional heteroskedasticity, slow scale change and periodicity in the volatility of high-frequency financial returns. A data-driven algorithm...

This paper introduces a tree-form constant market share (CMS) model for analyzing growth causes in international trade based on multi-level classification. The tree-form CMS is a collection of CMS models at different levels, including the entire, branch- and leaf-models, which consists of a...