While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...

We develop a new targeted maximum likelihood estimation method that provides improved forecasting for misspecified linear autoregressive models. The method weighs data points in the observed sample and is useful in the presence of data generating processes featuring structural breaks, complex...

This paper examines the sources of economic growth in Algeria, studying the key drivers of their slow and weak economic performance, during the period of 1979-2019 from the perspective of the augmented growth accounting framework and the growth regression method. More specifically, the paper...

For many low-income countries, the impact of structural reforms on economic growth and poverty alleviation crucially depends on the response of aggregate agricultural supply to changing incentives. Despite its policy relevance, the size of this parameter is still largely unknown. This paper...

This paper investigates the role of investor attention in forecasting realized volatility for fourteen international stock markets, by means of Google Trends data, over the sample period January 2004 through November 2021. We devise an augmented Empirical Similarity model that combines three...

We study the dynamics of inflation persistence in 45 countries for the period 1960-2008. We use a nonparametric unit root test robust to nonlinearities, error distributions, structural breaks and outliers, many of them typical features of inflation data, and a test for multiple changes in...

In establishing the foundation of their investment process, global equity investors typically adopt a framework along geographic and/or industry dimensions. The chosen framework is then applied to the whole investment process including alpha generation, portfolio construction, and risk...

There is extensive empirical evidence that funds of hedge funds (FoHFs) quickly change their investment bets as a function of the changing market conditions. In this chapter, we first analyze the stability of risk exposure and performance of FoHFs during the period January 2005-June 2011. We...

The research was conducted in order to study the volatility in gold price returns and its investigation. The data has been collected on daily basis for the tenure of a couple of years starting from 1st January 2009 to 31st September 2011. The models used to run the data are: standard deviation...