Espasa and Mayo-Burgos (2013) provide consistent forecasts for an aggregate economic indicator and its basic components as well as for useful sub-aggregates. To do this, they develop a procedure based on single-equation models that includes the restrictions arisen from the fact that some...

Among the alternative Unobserved Components formulations within the stochastic state space setting, the Dynamic Harmonic Regression (DHR) has proved particularly useful for adaptive seasonal adjustment signal extraction, forecasting and back-casting of time series. Here, we show first how to...

Although the spectral analysis of stationary stochastic processes has solid mathematical foundations, this is not the case for non-stationary stochastic processes. In this paper, the algebraic foundations of the spectral analysis of non-stationary ARMA processes are established. For this purpose...

Kelly staking method has been shown to maximize long-term growth of bankroll. However, it demands for the estimation of the true probabilities for each event. As a result many sport tipsters have abandoned this staking method and opted for a flat staking plan ('unit loss') or, less frequently,...

This paper tackles the mixed-frequency modeling problem from a new perspective. Instead of drawing upon the common distributed lag polynomial model, we use a transfer function representation to develop a new type of models, named TF-MIDAS. We derive the theoretical TF-MIDAS implied by the...

This paper tackles the mixed-frequency modeling problem from a new perspective. Instead of drawing upon the common distributed lag polynomial model, we use a transfer function representation to develop a new type of models, named TF-MIDAS. We derive the theoretical TF-MIDAS implied by the...

We develop a theoretical framework that explains the decision-making process of banks concerning the allocation of credit to two sectors: (i) households seeking real estate assets, and (ii) companies requiring capital for consumer goods production. By analyzing the interaction between the credit...

In this paper we analyse the market integration process of the relative price distribution, develop a model to analyze market integration, and present a formal test of increasing market integration. We distinguish between the economic concepts of price convergence in mean and in variance. When...

Este artículo describe una metodología que permite contrastar la convergencia absoluta y relativa del nivel general de precios (en media y varianza), basada en un modelo de precios relativos que incluye un proceso de transición y permite medir la velocidad de convergencia de precios entre un...