This paper examines, empirically, the historical importance of financial and survey-based sentiment shocks in the US business cycle, and in the formation of US monetary policy over the period 1970-2014. A large Bayesian VAR (BVAR) model with a 'Minnesota Prior' is estimated on monthly US data...

This paper models mortgage loan quality in Ireland when only aggregate arrears data are available. A first-order Markov model of credit migration is estimated using constrained regression and Bayesian techniques. The estimated transition probabilities for the Irish mortgage loan book are broadly...

This article examines an equity pairs trading strategy using daily, weekly and monthly European share price data over the period 1998–2007. The authors shows that when stocks are matched into pairs with minimum distance between normalised historical prices, a simple trading rule based on...