On August 11, 2021, the U.S. Bureau of Labor Statistics reported a 5.4% per year increase in the CPI for the third consecutive month, intensifying the ongoing debate about whether high inflation will prove temporary or more lasting. This paper seeks to inform this debate by evaluating the...

As of June 12, 2021, the end of the COVID-19 pandemic appeared to be fast approaching. As such, there is now increased debate with respect to the nature of a post-COVID economic recovery. Several financial writers have referenced the Roaring 20s as a historical period that may provide useful...

We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and investment horizon specification. It describes the evolution of...

In quantitative finance, we often model asset prices as a noisy Ito semimartingale. As this model is not identifiable, approximating by a time-changed Levy process can be useful for generative modelling. We give a new estimate of the normalised volatility or time change in this model, which...

This paper presents the first empirical assessment of the causal relationship between social capital and health in Italy. The analysis draws on the 2000 wave of the Multipurpose Survey on Household conducted by the Italian Institute of Statistics on a representative sample of the population (n =...

In this study, we examine how the rice futures market in prewar Japan evolved in light of changes in market efficiency over time. Using a non-Bayesian time-varying VAR model, we compute the time-varying degree of market efficiency of the rice futures exchanges in Tokyo and Osaka. Then, we...

We use the GARCH model with a fat-tailed error distribution described by a rational function and apply it for the stock price data on the Tokyo Stock Exchange. To determine the model parameters we perform the Bayesian inference to the model. The Bayesian inference is implemented by the...