Despite high economic growth during the last decades, China is still vulnerable to shocks arising from industrial states. The advanced economies determine Chinese export performance, with subsequent effects on output growth. Using a production function approach, this paper examines to which...

We analyse the relationship between the debt to GDP ratio and real per capita GDP growth for the euro area members by distinguishing between periods of sustainable and non-sustainable debt. Thresholds are theory-based and depend on the macroeconomic framework. If the interest rate exceeds...

This paper challenges the common view that exports generally contribute more to GDP growth than a pure change in export volume, as the export-led growth hypothesis predicts. Applying panel cointegration techniques to a production function with non-export GDP as the dependent variable, we find...

We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers, along with ten macroeconomic indicators. We also gather data from Google Trends about these firms' assets as an index of retail investors' attention. Thus, we create an extensive...

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from 'long time span tests' that detect jumps by examining the magnitude of the jump intensity parameter in the data...

This paper develops residual-based monitoring procedures for cointegrating polynomial regressions (CPRs), i.e., regression models including deterministic variables and integrated processes, as well as integer powers, of integrated processes as regressors. The regressors are allowed to be...

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...

Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit can be a poor guide to actual forecasting effectiveness. However, post-sample model testing requires an often-consequential a priori partitioning of the data into an "in-sample"...

A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a...