Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector...

We apply a multivariate multiplicative error model (MMEM) and investigate effects in the simultaneous processes of high-frequency return volatilities, trading volume, and trading intensities on the Italien Electronic Interbank Credit Market (e-MID). Analysing five minutes data from the Italian...

Completing data sets that are collected in heterogeneous units is a quite frequent problem. Chow and Lin (1971) were the first to develop a united framework for the three problems (interpolation, extrapolation and distribution) of predicting times series by related series (the 'indicators')....

In most of the empirical research on capital markets, stock market indexes are used as proxies for the aggregate market development. In previous work we found that a particular market segment might be less efficient than the whole market and hence easier to forecast. In this paper we extend the...

The extended Hodrick-Prescott (HP) method was developed by Polasek (2011) for a class of data smoother based on second order smoothness. This paper develops a new extended HP smoothing model that can be applied for spatial smoothing problems. In Bayesian smoothing we need a linear regression...

This paper shows that the Fed reacts to change in spreads between corporate bond yields and government bond yields over and beyond their information content on future inflation and future activity. This result, obtained in a GMM framework, is confirmed by simulation methods. Moreover, when...