We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 liquid futures contracts and show that RAMOM strategies...

Economists often seek to estimate unobserved variables, representing “equilibrium” or “expected” values of economic variables, as benchmarks against which observed, realised values of these variables may be evaluated. Such comparisons are often used as economic policy indicators, for...

This paper extends the canonical model of epidemiology, SIRD model, to allow for time varying parameters for real-time measurement of the stance of the COVID-19 pandemic. Time variation in model parameters is captured using the generalized autoregressive score modelling structure designed for...

This chapter examines the problems of dealing with trending type data when there is uncertainty over whether or not we really have unit roots in the data. This uncertainty is practical – for many macroeconomic and financial variables theory does not imply a unit root in the data however unit...

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices....

The book addresses the problem of a time-varying unconditional variance of return processes utilizing a spline function. The knots of the spline functions are estimated as free parameters within a joined estimation process together with the parameters of the mean, the conditional variance and...