In this article, we survey the literature on individual earnings dynamics with a particular focus on allowing for pervasive heterogeneity across individuals. We structure the discussion around ARMA processes with nonlinear trends for each individual. We show that allowing for pervasive and...

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...

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...

In this paper we test for the existence of long memory and structural breaks in the realized variance process for the DM/US$ and Yen/US$ exchange rates. While long memory is evident in the actual processes, a structural break analysis reveals that this feature is partially explained by...

In this chapter, we argue that under- and over-reaction are both parts of the price dynamics caused by investor's naïve judgmental extrapolation. We propose to use the Holt–Winters model, a parsimonious model with two parameters, to represent investor's conservatism (anchoring) and...

Managing a large hospital network can be an extremely challenging task. Management must rely on numerous pieces of information when making business decisions. This chapter focuses on the number of bed days (NBD) which can be extremely valuable for operational managers to forecast for logistical...

We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers published in these...