In this paper I propose a novel optimal linear filter for smoothing, trend and signal extraction for time series with a unit root. The filter is based on the Singular Spectrum Analysis (SSA) methodology, takes the form of a particular moving average and is different from other linear filters...

This paper, builds on the work of Hirshleifer, Hou, Teoh and Zhang (Journal of Accounting and Economics, 38, 2004) on the NOA (net operating assets) anomaly. After controlling for current profitability, we find a strong negative relation of NOA with future stock returns. Moreover, the results...

In this paper I consider the problem of optimal linear filtering, smoothing and trend extraction for m-period differences of processes with a unit root. Such processes arise naturally in economics and finance, in the form of rates of change (price inflation, economic growth, financial returns)...

We build on extant theory of the MNC, MNC subsidiaries, absorptive capacity and Penrose’s concept of ‘productive opportunity’ to develop a framework on the MNC and absorptive capacity (AC) that allows us to explore the role of subsidiaries in the global sourcing of knowledge. We develop...

We examine the `relative optimality' of sign predictions for financial returns, extending the work of Christoffersen and Diebold (2006) on volatility dynamics and sign predictability. We show that there is a more general decomposition of financial returns than that implied by the sign...

The Theta model created a lot of interest in academic circles due to its surprisingly good performance in the M3 forecasting competition. However, this interest was not followed up by other studies, with the exception of Hyndman and Billah in 2003. In addition, the Theta model performance has...

We significantly extend earlier work by Assimakopoulos and Nikopoloulos (2000) and Hyndman and Billah (2003) on the properties and performance of the Theta model, and potentially explain its very good performance in the M3 forecasting competition. We derive a number of new theoretical results...

Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized volatility of the Athens Stock Exchange (A.S.E.) from 1985 to 2003. Our analysis focuses on the distributional and time series properties of the realized volatility series and on...

In this paper we contribute several new results on the NoVaS transformation approach for volatility forecasting introduced by Politis (2003a,b, 2007). In particular: (a) we introduce an alternative target distribution (uniform); (b) we present a new method for volatility forecasting using NoVaS...

We explore the connection between inflation and its higherorder moments for three economies in the periphery of the European Union (E.U.), Greece, Portugal and Spain. Motivated by a micro-founded model of inflation determination, along the lines of the hybrid New Keynesian Phillips curve, we...