This paper is concerned with the issue of dynamics in financial data and asset pricing models such as the CAPM. A literature review in this area is undertaken and highlights the need for a modern time series econometric approach in asset pricing. Such an approach is discussed and deals with...

This study argues that there may exist benefits in active portfolio management and trading other than the possibility of obtaining excess returns. The objective is not to attack the hypothesis that trading cannot produce (risk-adjusted) returns that are superior to passive investment strategies....

This article proposes productivity analysis for evaluating the relative efficiency in corporate real estate usage across decision-making units. Using data from the Greek Telecommunications Organization (GTO), we measure the productivity of 127 branches using the number of employees and the total...

This article explores the linear and nonlinear forecastability of European football match scores using IX2 and Asian Handicap odds data from the English Premier league. To this end, we compare the performance of a Poisson count regression to that of a nonparametric Support Vector Machine (SVM)...

While body fat is the most accurate measure of obesity, its measurement requires special equipment that can be costly and time consuming to operate. Attention has thus typically focused on the easier to calculate body mass index (BMI). However, the ability of BMI to accurately identify obesity...

This note reconsiders the 'classical' approach to trend estimation and presents a modern treatment of this technique that enables trend filters which incorporate end-effects to be constructed easily and efficiently. The approach is illustrated by estimating recent Northern Hemispheric...

This paper investigates the time series and cross-section stability of parameter estimates from the single-index market model, using a UK data set relating to the security prices of parent companies, divesting in the form of a management buyout. A battery of tests of structural stability are...

We investigate how central bank forecasts of GDP growth evolve through time, and how they are adapted in the light of official estimates of actual GDP growth. Using data for 1988-2005, we find that the Federal Open Market Committee (FOMC) has typically adjusted its forecast for growth over the...