Abstract Here's why.(a) The Hodrick-Prescott (HP) filter introduces spurious dynamic
relations that have no basis in the underlying data-generating process.(b) Filtered values at …

Trend elimination and business cycle estimation are analyzed by finite sample and
asymptotic methods. An overview history is provided, operator theory is developed, limit …

Abstract The Hodrick-Prescott (HP) filter is a commonly used tool in macroeconomics used
to extract a trend component from a time series. In this paper, we derive a new …

Despite the liberalization of capital flows among OECD countries, equity home bias remains
sizable. We depart from the two familiar explanations of equity home bias: transaction costs …

In recent years, tourism demand forecasting has attracted more interests not only in tourism
area but in data science field. In this study, we follow the previous relevant data science …

This paper presents the synchronisation of economic cycles of GDP and crude oil and oil
products cargo volumes in major Polish seaports. On the one hand, this issue fits into the …

Tourist arrival and tourist demand forecasting are a crucial issue in tourism economy and the
community economic development as well. Tourist demand forecasting has attracted much …

Abstract Within a New Zealand business cycle context, we assess whether Hamilton's (H84)
OLS regression methodology produces stylised business cycle facts which are materially …

We derive the exact expression for the weights of the Hodrick-Prescott (HP) filter in a finite
sample without making any assumptions about the statistical properties of the time series …

Features trading strategies for a variety of asset classes and trading styles including stocks,
options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles …