This paper focuses on the time series’ decomposition and economic representation of its constituent parts. Wavelet transforms are used for adaptive analysis of local behaviour of heterogeneous agents. Unlike fully revealing equilibrium of homogeneous beliefs, in the environment with...

The bond-equity yield ratio is defined as the ratio of the coupon yield on long government bonds to the dividend yield on equity. Commonly named in the UK as the gilt-equity yield ratio (GEYR), it has been argued to capture the relative value of bonds and equities through the differential in...

VAR modelling is a frequent technique in econometrics for assumed linear processes. VAR modelling offers some desirable features such as relatively simple procedures for model specification and the possibility of making a quick and non-iterative maximum likelihood estimation of the system...

This paper presents a forecast tracker that can help bridge the wide gap between formal econometric forecasting methods and the common practice of judgmental forecasting. Traditionally, out-of-sample forecast errors have been widely used to improve the accuracy of econometric models, but track...

Using GP with lambda abstraction module mechanism to generate technical trading rules based on S&P 500 index, we find strong evidence of excess returns over buy-and-hold after transaction cost on the testing period from 1989 to 2002. The rules can be interpreted easily; each uses a combination...