A new noise filtering approach, based on flexible least squares (FLS) estimation of an unobserved component local level model, is introduced. The proposed FLS filter has been found to perform well in Monte Carlo analysis, independently of the persistence properties of the data and the size of...

A new approach to the modelling of common components in long memory processes is introduced. The approach is based on a two-step procedure relying on Fourier transform methods (first step) and principal components analysis (second step). Differently from other available methods, it allows the...

This paper contributes to the existing literature on central bank repo auctions. It is based on a structural econometric approach, whereby the primitives of bidding behavior (individual bid schedules and bid-shading components) are directly estimated. With the estimated parameters we calibrate a...

We introduce a multivariate components model for returns and net relative inflows into hedge funds, accounting for time-varying market premia. We estimate alpha as an unobserved variable of the econometric model. We then assess whether several categories of hedge funds do produce alphas and...

We study the time series properties of the Fama-French factor returns volatility processes. Among the original findings of this paper, we point to structural breaks in the volatility of the factors, and strong coincidence between the timing of the breaks in the volatility of the market portfolio...

The paper considers a neoclassical model set in the cost function approach to estimate primary energy factor demands for the Italian economy, using a translog cost function specification. Cointegration theory is employed to estimate the long-run factor share model, and the general to specific...

In this paper we present new results for the frequency domain principal components estimator of the cointegration space for stationary long memory processes of Morana (2004), concerning asymptotic properties, identification of the cointegration space and the linkage with the frequency domain...

Many previous analyses of inflation have used either long memory or nonlinear time series models. This paper suggests a simple adaptive modification of the basic ARFIMA model, which uses a Flexible Fourier Form to allow for a time varying intercept. Simulation evidence suggests the model...

What are the sources of macroeconomic comovement among G-7 countries? Two main candidate explanations may be singled out: common shocks and common transmission mechanisms. In the paper it is shown that they are complementary, rather than alternative, explanations. By means of a large-scale...

In this paper a new approach to factor vector autoregressive estimation, based on Stock and Watson (2005), is introduced. In addition to sharing all the relevant features of the Stock and Watson (2005) approach, in its static formulation, the proposed method has the advantage of allowing for a...