In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger...

This paper builds a short-term inflation projections (STIP) model for Latvia. The model is designed to forecast highly disaggregated consumer prices using cointegrated ARDL approach of [Pesaran, M., & Shin, Y. (1998). An Autoregressive Distributed Lag Modelling Approach to Cointegration...

Simple sum monetary aggregates are based on accounting conventions and have no aggregation theoretic foundations in economic theory. In contrast, Divisia monetary aggregates are directly derived from aggregation and index number theory. Credit card services cannot be included in simple sum...

This paper presents a method to improve the one-step-ahead forecasts of the Spanish unemployment monthly series. To do so, we use numerous potential explanatory variables extracted from searches in Google (GoogleTrends tool).Two different dimension reduction techniques are implemented (PCA and...

We present a procedure to perform seasonal adjustment over daily sales data. The model adjusts daily information from the Immediate Supply of Information System for Value Added Tax declaration forms compiled by the Spanish Tax Agency. The procedure performs signal extraction and forecasting at...

We propose our quarterly earnings prediction (QEPSVR) model, which is based on epsilon support vector regression (ε-SVR), as a new univariate model for quarterly earnings forecasting. This follows the recommendations of Lorek (Adv Account 30:315–321, 2014....

Evidence in favor of the monetary model of exchange rate determination for the South African Rand is, at best, mixed. A co-integrating relationship between the nominal exchange rate and monetary fundamentals forms the basis of the monetary model. With the econometric literature suggesting that...