In this paper we investigate the impact of news to predict extreme financial returns using high frequency data. We consider several model specifications differing for the dynamic property of the underlying stochastic process as well as for the innovation process. Since news are essentially...

This paper presents the R package MCS which implements the Model Confidence Set (MCS) procedure recently developed by Hansen et al. (2011). The Hansen's procedure consists on a sequence of tests which permits to construct a set of 'superior' models, where the null hypothesis of Equal Predictive...

Recent financial disasters have emphasised the need to accurately predict extreme financial losses and their consequences for the institutions belonging to a given financial market. The ability of econometric models to predict extreme events strongly relies on their flexibility to account for...

The variance profile is defined as the power mean of the spectral density function of a stationary stochastic process. It is a continuous and nondecreasing function of the power parameter, <italic>p</italic>, which returns the minimum of the spectrum (<italic>p</italic>→−∞), the interpolation error variance (harmonic mean,...

This paper investigates the main patterns of industrial specialisation in Italian provinces over half a century following the Unification of the country. To this end, we propose a multivariate graphical technique named <italic>dynamic specialisation biplot</italic>. In 1871, specialisation vocations towards the...

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...

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...

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...

The paper deals with the estimation of monthly indicators of economic activity for the Euro area and its largest member countries that possess the following attributes: relevance, representativeness and timeliness. Relevance is obtained by referring our monthly indicators to gross domestic...

The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the Box-Cox power transformation, which applies to series measured on a ratio scale. We propose a nonparametric approach for estimating...