​This paper first applies the MODWT (Maximal Overlap Discrete Wavelet Transform) to Euro Area quarterly GDP data from 1995-2014 to obtain the underlying cyclical structure of the GDP components. We then design optimal fiscal and monetary policy within a large state-space LQ-tracking wavelet...

We provide a fast algorithm for calculating the fractional difference of a time series. In standard implementations, the calculation speed (complexity) is of order T 2, where T is the length of the time series. Our algorithm allows calculation speed of order T log2 T . For moderate and large...

​In this paper discrete wavelet filtering techniques are applied to decompose macroeconomic data so that they can be simultaneously analyzed in both the time and frequency domains. The MODWT (Maximal Overlap Discrete Wavelet Transform) is applied to U.S. quarterly GDP data from 1947-2012 to...

In the current paper, we study the stability and the survival probabilities of enterprises and banks within a prolonged duration of the debt-crisis, with Monte Carlo simulation. We utilize historical data from banks and enterprises within the debt-crisis to define crisis-variability and...

The Troubled Asset Relief Program (TARP), or the $700 billion bailout, has been the subject of much academic interest. Here the rigorous studies on the programs of this massive intervention into the financial sector are reviewed. While considerable work has been done on the bank bailouts in the...

This article tries to solve the portfolio inflation hedging problem by introducing a new class of dynamic trading strategies derived from classic portfolio insurance techniques adapted to the real world. These strategies aim at yielding higher returns on a risk-adjusted basis than regular...

Economic capital (ECap) modeling is a fundamental part of Pillar II of the Basel framework. Indeed, 'sophisticated' financial institutions need to have in place internal models for the assessment of the level of the overall capital buffer which is deemed sufficient to cover the risk of their...

In this paper, we introduce a methodology that allows for imposing views on density forecasts of a (frequency domain) factor based time series model. Such a model produces a density forecast for the future evolution of economic and financial variables such as interest rates, asset returns and...

The purpose of this paper is to analyse the system dynamics of the trading strategy called the mixed-mix portfolio for effective utility of the strategy. The focus is on the impact of the volatility in the financial growth and transaction costs under this portfolio strategy. In addition we...