. However, these measures do not characterize the dynamic component of investor activity, nor do they consider the time horizons … component that captures the manager's timing ability across a range of time horizons. Our framework can be universally applied …

The following paper discusses the analysis of some types of economic time series using an altered time scale, or … operational time. It is argued that for some series, observations that are ordinarily thought of as equidistant in time are … actually irregularly spaced in a more natural time scale. Section A discusses point or impulse sampling of related series and …

This paper studies the time-varying parameter (TVP) regression model in which the regression coefficients are random … walk latent states with time dependent conditional variances. This TVP model is flexible to accommodate a wide variety of …

We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural …

is further split into orthogonal components. This new decomposition provides an effective method to represent a time … series as a linear combination of innovations classified by their level of persistence and their time of arrival …