The main aim of this paper is to forecast both in-sample and out-of-sample lithium prices. Specifically, we explore the empirical implications of the present value model for exchange rates, market indexes, mining company prices and related company prices in hi-tech, automotive, electric vehicle...

Real exchange rates evolve independently of money supply shocks in accordance with long-run monetary neutrality. However, the prolonged disequilibrium errors of the Korean won - US dollar real exchange rates in the 1990s prior to the Asian financial crisis and the hike subsequent to the crisis...

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both insample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

This paper presents an early warning system for predicting banking crises specifically tailored to developed small open economies. The model considers two sources of financial instability: Domestic macro-financial imbalances and exposure to foreign banking systems with high crisis risk. Exposure...

We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...

We consider the problem of forecasting realized variance measures. These measures are highly persistent, but also noisy estimates of the underlying integrated variance. Recently, Bollerslev, Patton and Quaedvlieg (2016, Journal of Econometrics, 192, 1-18) exploited this fact to extend the...

We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted...

In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...

This study develops a framework for forecasting selected balance sheet items of the four largest Maltese core banks, with a particular emphasis on bank profitability. Methodologically, it employs two multivariate time series models, namely a Factor-Augmented VAR (FAVAR) and a Bayesian VAR...