Using recent advances in time-varying spectral methods, this research analyses the growth cycles of the core of the euro area in terms of frequency content and phasing of cycles. The methodology uses the continuous wavelet transform (CWT) and also Hilbert wavelet pairs in the setting of a...

Over the last decades, the estimation of the slack in the economy has become an essential piece of analysis for policymakers, both on the monetary policy and the fiscal policy front. Output gap estimation techniques have flourished accordingly, although there is no consensus on a best-performing...

We study investment and disinvestment decisions in situations where there is a time lag 0 from the time t when the decision is taken to the time when the decision is implemented. Applying the probabilistic approach to the combined entry and exit decisions under the Parisian implementation delay,...

The paper presents a comparison of the two languages Python and R related to the classification tools and demonstrates the differences in their syntax and graphical output. It indicates the functionality of R and Python packages {dendextend} and scipy.cluster as effective tools for the...

Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...

On the tracking and replication of hedge fund optimal investment portfolio strategies in global The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to...

This article analyses the frequency components of European business cycles using real GDP by employing multiresolution decomposition (MRD) with the use of maximal overlap discrete wavelet transforms (MODWT). Static wavelet variance and correlation analysis is performed, and phasing is studied...

In this paper we present a method for calculating the entire hedge surface of a derivative who’s future underlying asset has been simulated by a market simulator for example with the Monte Carlo method. Our method is built from work on penalized filtering techniques and is applied on a grid of...

An accurate forecast of intraday volume is a key aspect of algorithmic trading. This manuscript proposes a state-space model to forecast intraday trading volume via the Kalman filter and derives closed-form expectation-maximization (EM) solutions for model calibration. The model is extended to...