Long-horizon regression tests are widely used in empirical finance, despite evidence of severe size distortions. I propose a new bootstrap method for small-sample inference in long-horizon regressions. A Monte Carlo study shows that this bootstrap test greatly reduces the size distortions of...

The use of linear parametric models for forecasting economic time series is widespread among practitioners, in spite of the fact that there is a large evidence of the presence of non-linearities in many of such time series. However, the empirical results stemming from the use of non-linear...

n this paper I compare different models, a linear and a non-linear one, for forecasting industrial production by means of some related indicators. I claim that the difficulties associated with the correct identification of a non-linear model could be a possible cause of the often observed worse...

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

In this note I show that the method proposed in Thomakos (2008) for optimal linear filtering, smoothing and trend extraction for a unit root process can be applied with no changes when a drift parameter is added to the process. The method in the aforementioned paper is based on Singular Spectrum...