The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...

The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...

Many empirical studies have shown that factor models produce relatively accurate forecasts compared to alternative short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and different forecast horizons. However, various specifications...

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...

The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this paper we explore a generalisation of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal...

We extend the class of dynamic factor yield curve models for the inclusion of macro-economic factors. We benefit from recent developments in the dynamic factor literature for extracting the common factors from a large panel of macroeconomic series and for estimating the parameters in the model....

A major aim of recent empirical modelling of the business cycle isto identify the relative importance of aggregate supply and demandshocks. Supply or technology shocks are associated with permanent(structural) effects on economic activity whereas demand shocks arerelated to temporary (cyclical)...