For stationary transformations of variables, there exists a maximum horizon beyond which forecasts can provide no more information about the variable than is present in the unconditional mean. Meteorological forecasts, typically excepting only experimental or exploratory situations, are not...

Dependence among large observations in equity markets is usually examined using second-moment models such as those from the GARCH or SV classes. Such models treat the entire set of returns, and tend to produce similar estimates on different major equity markets, with a sum of estimated GARCH...

Since the advent of standard national accounts data over 60 years ago, economists have traditionally relied on monthly or quarterly data supplied by central statistical agencies for macroeconomic modelling and forecasting. However, technological advances of the past several years have resulted...

Statistical methods are widely used for valuation (prediction of the value at sale or auction) of a unique object such as a work of art. The usual approach is estimation of a hedonic model for objects of a given class, such as paintings from a particular school or period, or in the context of...