production; and exchange rates. -- diffusion index ; factor ; forecast ; macroeconometrics ; parameter estimation error ; proxy …

; factor ; federal reserve bank ; forecast ; macroeconometrics ; monetary policy ; parameter estimation error ; proxy …

This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …, the model is applied to postwar monthly US unemployment series and we discover a significantly periodic cycle. Furthermore …

that the LMACP nicely captures salient features of bid-ask spreads like the strong autocorrelation and discreteness of …

autocorrelation of volatility innovations acts as an indicator of the importance of the squared-return for volatility updating. When … recent volatility innovations have the same sign (positive autocorrelation), the current volatility estimate needs to adjust … more quickly than in a period where recent volatility innovations have mixed signs (negative autocorrelation). The …

-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate …