This paper describes a framework of how to optimally implement linear filters for finite time series. The filters under consideration have the property that they minimize the mean squared error compared to some ideal hypothetical filter. It is shown in examples that three commonly used filters,...

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...

Objective: The study focused on verifying the impact of the calendar and seasonal effects on the accuracy of forecasts of cash withdrawals from automated teller machines (ATMs). In this article, we investigated a possible use of the so-called trigonometric seasonality, the Box-Cox...

The novelty/value added of this paper is the comparison of the Epps effect between developed and emerging stock markets from Central Europe by means of the correction formula derived by the authors. The main goal of the study is to test whether or not asynchrony in transaction times is a...