This paper considers a multivariate system of fractionally integrated time series and investigates the most appropriate way for estimating Impulse Response (IR) coefficients and their associated confidence intervals. The paper extends the univariate analysis recently provided by Baillie and...

This paper aims at providing a primer on the use of big data in macroeconomic nowcasting and early estimation. We discuss: (i) a typology of big data characteristics relevant for macroeconomic nowcasting and early estimates, (ii) methods for features extraction from unstructured big data to...

In this paper we investigate the applied performance of covariance shrinkage in the portfolio optimisation problem. We suggest that the optimal shrinkage coefficient should be obtained from a numerical optimisation of a function with financial interpretation. Such a function could be the...