The central idea of this text is to guide researchers through the application of regression modeling when the data under analysis are observed over time. In general, there are no doubts regarding the application of this modeling in cross sections. However, when there is dependence on the data...

In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general hidden Ito semimartingales, and discuss how to measure liquidity risk using high frequency financial data. In particular, we investigate the impact of non-stationary microstructure...

I propose a novel method, the Wasserstein Index Generation model (WIG), to generate a public sentiment index automatically. To test the model's effectiveness, an application to generate Economic Policy Uncertainty (EPU) index is showcased

Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic properties are derived and the effect of filtering on d is investigated. It is shown that the estimator by Geweke and Porter-Hudak (1983) can be improved significantly using a...

This paper revisits the Kareken-Wallace model of exchange rate formation in a two-country overlapping generations world. Following the seminal paper by Arifovic (Journal of Political Economy, 104, 1996, 510 - 541) we investigate a dynamic version of the model in which agents' decision rules are...

Recent evidence suggests that agents' expectations may have played a role in several cyclical episodes such as the U.S. "new economy" boom in the late 1990s and the real estate boom in Japan in the 1980s. These business cycles feature long and gradual boom and sharp bust phases. Existing...

I consider a consumption based asset pricing model where the consumer does not know if shocks to dividends are stationary (temporary) or non-stationary (permanent). The agent uses a Bayesian learning algorithm with a bias towards recent observations to assign probability to each process. While...