We study the filter in Ma and Tang (2012) and show that the filter has predictive power for sunspot cycles. The filter is a 12-month simple moving average of the sum of one month, three month and six month differences of the logarithm monthly sunspot number series. We show that this filter leads...

We study the relationship between conditional quantiles of returns and the long-, medium- and short-term volatility in a portfolio of financial assets. We argue that the combination of quantile panel regression and wavelet decomposition of the volatility time series provides us with new insights...