The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the...

The paper provides a disaggregated mixed-frequency framework for the estimation of GDP. The GDP is disaggregated into components that can be forecasted based on information available at higher sampling frequency, i.e., monthly, weekly, or daily. The model framework is applied for Greek GDP...

Stationarity of hedge ratios can be viewed as a first step for portfolio hedging since it represents that the sensitivity of spot and futures returns follow a process whose main characteristics do not depend on time. However, we provide evidence that the hedge ratios of the main European stock...

Accurate and economically useful oil price forecasts have gained significant importance over the last decade. The majority of the studies use information from the oil market fundamentals to generate oil price forecasts. Nevertheless, the extant literature has convincingly shown that oil prices...

The assets of the hedge fund industry are nearly equivalent to the GDP of the UK. The industry, which claims returns independent of markets conditions and has been blamed for economic crises, has attracted the interest of a wide range of financial and political players and academics. This paper,...