The time aggregation properties of the Hodrick-Prescott (HP) filter to decompose a time series into trend and cycle are analized for the case of annual, quarterly, and monthly data. It is seen that aggregation of the disagreggate component estimators cannot be obtained as the exact result from...

This peper examines monthly arriavls data for hotels in Porthsmouth for the period January 1987 to December 1994. The objective is to establish whether there has bee any change in seasonal pattern over time and investigate the extent to which various policy initiatives and special events have...

A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation,...

In this paper, we implement a methodology to identify and measure premia in the pricing of forward foreign exchange. The methodology involves application of signal-extraction techniques from the engineering literature. Diagnostic tests indicate that these methods are quite successful in...

Since 2000 a number of factors impacted agricultural markets drastically. Among these are structural changes in global demand and repeated supply constraints that supported the observed positive development of agricultural prices. Given the increasingly interdependent global markets, the...