In a recent empirical study by Glabadanidis ("Market Timing With Moving Averages" (2015), International Review of Finance, Volume 15, Number 13, Pages 387-425; the paper is also available on the SSRN and has been downloaded more than 7,500 times) the author reports striking evidence of...

I derive the finite-sample bias of the conditional Gaussian maximum likelihood estimator in ARMA models when the error follows some unknown nonnormal distribution. The general procedure relies on writing down the score function and its higher-order derivative matrices in terms of quadratic forms...

In this article we present four diversified approaches to forecasting main macroeconomic variables without a priori assumptions concerning causality. We include tendency survey data in both the Bayesian averaging of classical estimates (BACE) and the dynamic factor models (DFM) frameworks. With...

We utilise functional time series (FTS) techniques to characterise and forecast implied volatility in foreign exchange markets. In particular, we examine the daily implied volatility curves of FX options, namely; EUR-USD, EUR-GBP, and EUR-JPY. Based on existing techniques in the literature, the...