In this study a continuous wavelet transform is performed on Bitcoin's historical returns. Despite the asset's novelty and high volatility, evidence from the wavelet power spectra shows clear dominance of specific investment horizons during periods of high volatility. Thanks to wavelet analysis...

We propose a new algorithm for estimating treatment effects in contexts where the exogenous variation comes from aggregate time-series shocks. Our estimator combines data-driven unit-level weights with a time-series model. We use the unit weights to control for unobserved aggregate confounders...

In this paper we examine temporal properties of eleven natural resource real price series from 1870-1990 by employing a Lagrangian Multiplier unit root test that allows for two endogenously determined structural breaks with and without a quadratic trend. Contrary to previous research, we find...

Agriculture is a main source of production of food crops. The food crops are produced, processed, promoted and distributed widely. Productions of these crops are diseased by pant pathogens and several environmental conditions. The market price of the crops decides their supplies and demand. Due...

It has been suggested that existing estimates of the long-run impact of a surprise move in income may have a substantial upward bias due to the presence of a trend break in post war U.S. GNP data. This paper shows that the statistical evidence does not warrant abandoning the no trend null...

This paper introduces a time series model derived from the reverse engineering of the Schrodinger equation. The model is a wave packet model which has a stochastic drift as a superposition of trigonometric functions. The model can be thought of as a financial time series model that includes a...

In this paper we present a method for calculating the entire hedge surface of a derivative who’s future underlying asset has been simulated by a market simulator for example with the Monte Carlo method. Our method is built from work on penalized filtering techniques and is applied on a grid of...

This paper proposes a procedure for the determination of the minimal length of the historical time series of daily deposit variations in accordance with an institution’s specific risk tolerance. In a previously released paper we developed a methodology to ascertain an institutional specific...

We develop analytic asymptotic methods to characterize time series properties of nonlinear dynamic stochastic models. We focus on a stochastic growth model which is representative of the models underlying much of modern macroeconomics. Taking limits as the stochastic shocks become small, we...

In this paper we provide evidence on the presence of seasonal unit roots in aggregate U.S. data. The analysis is conducted using the approach developed by Hyllebcrg, Engle, Granger and Yoo (1990). We first derive the mechanics and asyrnptotics of the HEGY procedure for monthly data and use Monte...