We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering. We illustrate the...

We construct a framework for measuring economic activity in real time (e.g., minute-by-minute), using a variety of stock and flow data observed at mixed frequencies. Specifically, we propose a dynamic factor model that permits exact filtering, and we explore the efficacy of our methods both in a...

This paper evaluates the performance of carry trade strategies with macro fundamentals in a Markov switching dynamic factor augmented regression framework and compares the performance statistics with the benchmark model of a random walk and momentum strategy. I make simulations with the Japanese...

To match the NBER business cycle features it is necessary to employ Generalised Dynamic Categorical (GDC) models that impose certain phase restrictions and permit multiple indexes. Theory suggests additional shape restrictions in the form of monotonicity and boundedness of certain transition...

This working paper is an excerpt on the recent finding of the network effect in the stock market. Specifically I summarize the three-half power law which states that the total value of the stock market is proportional to the three-half power of the number of stocks in the market. This power law...

To illustrate that the mathematical form of P. K. Clark's distribution of lognormal-normal increments, with a minor bug fix, is the same as the symmetric lognormal cascade distribution that I studied in 2008-9, although the two were derived from very different stochastic assumptions

We present a comprehensive disaggregate approach for short-term forecasting economic activity in Germany by explicitly taking into account the supply or production side and the demand side of GDP. The GDP figures calculated by the two sides usually yield different results and the official GDP...

Multivariate analysis can help to focus on economic phenomena, including trend and cyclical movements. To allow for potential correlation with seasonality, the present paper studies a three component multivariate unobserved component model, focusing on the case of quarterly data and showing that...

This working paper presents the general theory of the higher order "skew lognormal cascade distribution" as a mathematical extension of the previously proposed skew lognormal cascade distribution. In particular, the second order distribution is studied in details, which incorporates the fat...

This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic trend, seasonal and cycle components. Convenient state space formulations are introduced for exact maximum likelihood...