Combining multiple forecasts provides gains in prediction accuracy. Therefore, with the aim of finding an optimal weighting scheme, several combination techniques have been proposed in the forecasting literature. In this paper we propose the use of sparse partial least squares (SPLS) as a method...

This paper looks at projections for the Spanish population by sex and age for the period of 2005 to 2050. These were carried out using forecasts for birth and mortality rates, and migration. These rates are calculated using two main sources of information. First, a multivariate time series model...

Traditional tests for conditional heteroscedasticity are based on testing for significant autocorrelations of squared or absolute observations. In the context of high frequency time series of financial returns, these autocorrelations are often positive and very persistent, although their...

In the context of Dynamic Factor Models (DFM), we compare point and interval estimates of the underlying unobserved factors extracted using small and big-data procedures. Our paper differs from previous works in the related literature in several ways. First, we focus on factor extraction rather...

In the context of dynamic factor models (DFM), it is known that, if the cross-sectional and time dimensions tend to infinity, the Kalman filter yields consistent smoothed estimates of the underlying factors. When looking at asymptotic properties, the cross- sectional dimension needs to increase...

In this paper we carry a disaggregated study of the monthly US Consumer Price Index (CPI). We consider a breakdown of US CPI in four subindexes, corresponding to four groups of markets: energy, food, rest of commodities and rest of services. This is seen as a relevant way to increase information...

We study with the help of a laboratory experiment the conditions under which an uninformed manipulator - a robot trader that unconditionally buys several shares of a common value asset in the beginning of a trading period and unwinds this position later on - is able to induce higher asset...