Structural change affects the estimation of economic signals, like the underlying growth rate or the seasonally adjusted series. An important issue, which has attracted a great deal of attention also in the seasonal adjustment literature, is its detection by an expert procedure. The...

EuroMInd-D is a density estimate of monthly gross domestic product (GDP) constructed according to a bottom–up approach, pooling the density estimates of eleven GDP components, by output and expenditure type. The components density estimates are obtained from a medium-size dynamic factor model...

Extracting and forecasting the volatility of financial markets is an important empirical problem. Time series of realized volatility or other volatility proxies, such as squared returns, display long range dependence. Exponential smoothing (ES) is a very popular and successful forecasting and...

The exponential model for the spectrum of a time series and its fractional extensions are based on the Fourier series expansion of the logarithm of the spectral density. The coefficients of the expansion form the cepstrum of the time series. After deriving the cepstrum of important classes of...

The measurement of core inflation can be carried out by optimal signal extraction techniques based on the multivariate local level model, by imposing suitable restrictions on its parameters. The various restrictions correspond to several specialisations of the model:the core inflation measure...

The paper focuses on the adaptation of local polynomial filters at the end of the sample period. We show that for real time estimation of signals (i.e. exactly at the boundary of the time support) we cannot rely on the automatic adaptation of the local polynomial smoothers, since the direct real...

This paper examines the convergence of regional business cycles in the decades that followed Italy's Unification. The aggregate construction series point to cyclical convergence, but a sectorlevel analysis traces this result to the decline in differentiated "regional-policy" shocks. The regional...

In this paper we deal with several issues related to the quantification of business surveys. In particular, we propose and compare new ways of scoring the ordinal responses concerning the qualitative assessment of the state of the economy, such as the spectral envelope and cumulative logit...

The paper explores and illustrates some of the typical trade-offs which arise in designing filters for the measurement of trends and cycles in economic time series, focusing, in particular, on the fundamental trade-off between the reliability of the estimates and the magnitude of the revisions...

The paper evaluates the potential of band spectral estimation for extracting signals in economic time series. Two situations are considered. The first deals with trend extraction when the original data have been permanently altered by routine operations, such as prefiltering, temporal...