reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year … estimation of a VAR-GARCH model. The results can be summarised as follows. Negative news have significant positive effects on …

This paper considers the question of whether changes in persistence have occurred during the long-run evolution of U … for a structural break when testing for a break in persistence, thus disentangling the effect of a deterministic break … from that of a stochastic break and advancing the existing literature on the persistence properties of non …

We investigate the persistence of levels of self-employment and new business formation in different time periods and …

The paper studies the persistence of profit and its determinants in emerging markets. We apply Markov chain analysis … empirical results show a moderate level of profit persistence, as well as a relatively low speed of adjustment to the steady …-state profit level, thus providing no support for the hypothesis that there is a lower persistence of profits in emerging markets …

rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 …-of-sample forecasting experiment also suggests that the long-memory model with two fractional differencing parameters is the most adequate …

This paper examines the degree of persistence of youth unemployment (total, male and female) in twenty-four countries … longmemory processes respectively. The evidence suggests that persistence is particularly high in Japan and some EU countries …

-of-sample forecasting exercise, we find that both pooling and accounting for spatial effects helps to substantially improve the forecast …-of-sample forecasting of the growth rates of flats' prices and rents for the next six months is done. It shows that in most cities both …