Evaluation of forecast optimality in economics and finance has almost exclusively been conducted on the assumption of mean squared error loss under which forecasts should be unbiased and forecast errors serially uncorrelated at the single period horizon with increasing variance as the forecast...

We frequently observe that one of the aims of time series analysts is to predict future values of the data. For weakly dependent data, when the model is known up to a finite set of parameters, its statistical properties are well documented and exhaustively examined. However, if the model was...

We look into the available macroeconomic figures and the predictions made about the recession in Greece by international organizations, Greek research centers, and the Greek government; and suggest that the predictions regarding the decline in real GDP in recent years were overly optimistic. The...

This paper develops an empirical model of entry to analyze the effect of previous regulation on European airlines? post-liberalization profits. The author distinguishes between European flag carriers, which are hightly regulated at the beginning of the eighties, and independent airlines. It is...

The paper specifies and estimates a production function for the airline industry, identifying firms' network characteristics and efficiency as the main determinants of their productivity. The application of this analysis to the European market shows that productivity differences among flag...

Despite mounting empirical evidence to the contrary, the literature on predictability of stock returns almost uniformly assumes a time-invariant relationship between state variables and returns. In this paper we propose a two-stage approach for forecasting of financial return series that are...

In this paper we introduce a transformation of the Edgeworth-Sargan series expansion of the Gaussian distribution, that we call Positive Edgeworth-Sargan (PES). The main advantage of this new density is that it is well defined for all values in the parameter space, as well as it integrates up to...

This paper examines the role of currency and banking in the German financial crisis of 1931 for both Germany and the U.S. We specify a structural dynamic factor model to identify financial and monetary factors separately for each of the two economies. We find that monetary transmission through...

The Story of the Hats is a puzzle in social epistemology. It describes a situation in which a group of rational agents with common priors and common goals seems vulnerable to a Dutch book if they are exposed to different information and make decisions independently. Situations in which this...

This paper presents new models for aggregate UK data on mortgage possessions (foreclosures) and mortgage arrears (payment delinquencies). The innovations include the treatment of difficult to observe variations in loan quality and shifts in forbearance policy by lenders, by common latent...