Fund-of-funds (FoF) managers face the task of selecting a (relatively) small number ofhedge funds from a large universe of candidate funds. We analyse whether such a selectioncan be successfully achieved by looking at the track records of the available funds alone,using advanced statistical...

Macroeconomic time series often involve a threshold effect in theirARMA representation, and exhibit long memory features. In this paperwe introduce a new class of threshold ARFIMA models to account forthis. The threshold effect is introduced in the autoregressive and/or thefractional integration...

The objective of this paper is to extend the results on Pseudo Maximum Likelihood(PML) theory derived in Gourieroux, Monfort, and Trognon (GMT)(1984) to a situation where the rst four conditional moments are specied.Such an extension is relevant in light of pervasive evidence that conditional...

We test for state-dependent bias in the European Central Bank's inflation projections. We show that the ECB tends to underpredict when the observed inflation rate at the time of forecasting is higher than an estimated threshold of 1.8%. The bias is most pronounced at intermediate forecasting...

The transition to a cleaner energy mix, essential for achieving net-zero greenhouse gas emissions by 2050, will significantly increase demand for metals critical to renewable energy technologies. Energy Transition Metals (ETMs), including copper, lithium, nickel, cobalt, and rare earth elements,...

The New Keynesian Phillips Curve is at the center of two raging empirical debates. First, how can purely forward looking pricing account for the observed persistence in aggregate inflation. Second, price-setting responds to movements in marginal costs, which should therefore be the driving force...

This paper focuses on the robust Effcient Method of Moments (EMM) estimation of a general parametric stationary process and proposes a broad framework for constructing robust EMM statistics in this context. This extends the application field of robust statistics to very general time series...

We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the conditional allocation of wealth. We show that if one neglects these aspects, as would be the case in a mean-variance allocation, a significant cost would arise. The performance...

Driven by the rise in computational power, it has become popular to measure integrated variance with high-frequency squared returns. Though the squared return is a natural choice as a variance estimate, it is not the most efficient one for a given interval length. Extreme-value based estima-...

The recently proposed class of MixN-GARCH models, which couple a mixed normal distributional structure with linked GARCH-type dynamics, has been shown to offer a plausible decomposition of the contributions to volatility, as well as admirable out-of-sample forecasting performance, for financial...