This paper revisits the Kareken-Wallace model of exchange rate formation in a two-country overlapping generations world. Following the seminal paper by Arifovic (Journal of Political Economy, 104, 1996, 510 - 541) we investigate a dynamic version of the model in which agents' decision rules are...

The purpose of this paper is to introduce an evolution of estimation of ex-ante VaR of the Monte Carlo Filtered Bootstrap. We define the "modus operandi" borrowing from Bayesian statistic the idea of prior, likelihood and posterior distribution to have a mixture distribution of future returns....

This paper proposes a method for separating economic time series into a smooth component whose mean varies over time (the trend') and a stationary component (the cycle'). The aim is to make the trends as smooth as possible while also producing cycles with plausible properties. While the main...