Portfolio choice by full-scale optimization applies the empirical return distribution to a parameterized utility function, and the maximum is found through numerical optimization. Using a portfolio choice setting of three UK equity indices we identify several utility functions featuring loss...

Linear models reach their limitations in applications with nonlinearities in the data. In this paper we provide new empirical evidence on the relative Euro inflation forecasting performance of linear and nonlinear models. The well established and widely used univariate ARIMA and multivariate VAR...

This study provides strong empirical support for modeling the demand for monetary assets within a consumer demand framework. We estimate a linearised locally flexible almost ideal demand system, containing five monetary assets, over the period 1991Q4 to 1998Q4. Estimating the system in...

This paper studies empirical linkages between cycles and trends in freight transportation activity and real economic activity in Sweden. We find that cycles in freight transportation are highly contemporaneously correlated with cycles in economic variables over both the short run and the medium...