This paper derives relationships between frequency-domain and standard time-domain distributed-lag and autoregessive moving-average models. These relations are well known in the literature but are presented here in a pedogogic form in order to facilitate interpretation of spectral and...

An appropriate metric for the success of an algorithm to forecast the variance of the rate of return on a capital asset could be the incremental profit from substituting it for the next best alternative. We propose a framework to assess incremental profits for competing algorithms to forecast...