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The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies
Papailias, Fotis; Thomakos, Dimitrios D. - Rimini Centre for Economic Analysis (RCEA) - 2013
-to-medium term forecasting performance are investigated. We show that the BDI has a cyclical pattern which has been stable except for … a period after the 2007 crisis. This pattern has implications for improved forecasting and strategic management on the …
Persistent link: https://www.econbiz.de/10010728023
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Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration
Thomakos, Dimitrios D. - Rimini Centre for Economic Analysis (RCEA) - 2008
In this paper I propose a novel optimal linear ølter for smoothing, trend and signal extraction for time series with a unit root. The filter is based on the Singular Spectrum Analysis (SSA) methodology, takes the form of a particular moving average and is di¨erent from other linear filters...
Persistent link: https://www.econbiz.de/10005091110