Using the tail index of returns on U.S. equities as a summary measure of extreme behavior, we examine changes in the equity markets surrounding the development of program trading for portfolio insurance, the crash of 1987, and the subsequent introduction of circuit breakers and other changes in...

Meteorological and economic modelling and forecasting have a number of common features, which suggest that it may be interesting to compare their recent progress in forecasting. We concentrate on two aspects of forecasting: first, measures of the value added of forecasts, and the evolution of...

We examine a simple estimator for the multivariate moving average model based on vector autoregressive approximation. In finite samples the estimator has a bias which is low where roots of the determinantal equation are well away from the unit circle, and more substantial where one or more roots...

We consider estimates of the parameters of GARCH models of daily financial returns, obtained using intra-day (high-frequency) returns data to estimate the daily conditional volatility. We obtain asymptotic properties of the estimators and offer some simulation evidence on small-sample...

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...