We provide evidence that higher moments of the relative price distribution improve out-of-sample forecasts of inflation. Further, we show how theoretically consistent higher moments can be calculated by expanding the seminal work by Theil (1967). Results presented here are of direct relevance to...

In the Full-Scale Optimization approach the complete empirical financial return probability distribution is considered, and the utility maximising solution is found through numerical optimization. Earlier studies have shown that this approach is useful for investors following non-linear utility...

In this paper we consider the predictors of the business cycle in Great Britain, where the claimant count and unemployment rate are found to be key indicators associated with turning points. Next, we consider at a micro-economic level, using disaggregated local authority level data, a number of...

Prompted by a real-life observation in the UK retail market, a two-player Prisoners’ Dilemma model of an alliance between two firms is adapted to include the response of a rival firm, resulting in a version of a three-player Prisoners’ Dilemma. We use this to analyse the impact on the...

The principal objective of this paper is to develop a new approach to the construction of composite leading indicators using the signal extraction capabilities of the powerful Kalman filter. The resultant leading indicator properties are found to outperform those already derived using the...