We develop an easy-to-implement method for forecasting a stationary auto-regressive fractionally integrated moving average (ARFIMA) process subject to structural breaks with unknown break dates. We show that an ARFIMA process subject to a mean shift and a change in the long memory parameter can...

This paper proposes a novel and intuitive indicator to measure market systemic risk. Using this indicator, we examine how responsive the integration of various hedging assets to a change in the market integration of equity markets. We formulate the risk indicator based on a measure of...

The collection in Volume 43 Part A of Advances in Econometrics serves as a tribute to Professor M. Hashem Pesaran. Hashem is one of the most innovative, influential, and productive econometricians of his generation, with over 200 papers published in leading scientific journals to his credit...

We explore the usefulness of combining opinion surveys with time-series data to forecast Japanese economy. We demonstrate that the businessmen's judgemental variables might summarize contemporaneous information beyond that of actual series. The combined models do yield substantially more...