Applied econometricians tend to show a long neglect for the proper frequency to be considered while sampling the time series data. The present study shows how spectral analysis can be usefully employed to fix this problem. The case is illustrated with ultra-high-frequency data and daily prices...

Numerical evaluation of compound distributions is one of the centralnumerical tasks in insurance mathematics. Two widely used techniques are Panjer recursion and transform methods...

We introduce Mixed Data Sampling (henceforth MIDAS) regression models. The regressions involve time series data sampled at different frequencies. Technically speaking MIDAS models specify conditional expectations as a distributed lag of regressors recorded at some higher sampling frequencies. We...

There is currently no general approach to orthogonally block two-level and multi-level orthogonal arrays and mixed-level orthogonal arrays. In this article, we present a mixed integer linear programming approach that seeks an optimal blocking arrangement for any type of regular and nonregular...