Purpose – In this paper weekly volatility forecasts are considered with applications to risk management; in particular hedge ratios and VaR calculations, with the aim of identifying the most appropriate model for risk management practice. Design/methodology/approach – The study considers a...

Reappraises the stylised facts of the contemporary UK business cycle and the robustness of associated sample moments to detrending under the Hodrick‐Prescott (HP) filter and an unobserved components (UC) model based on the structural time series mode of Harvey and advocated in this context by...