Appropriate modeling of the process of volatility has implications for portfolio selection, the pricing of derivative securities and risk management. Further, a large body of research has suggested that both long memory and structural changes simultaneously characterize the structure of...

This paper develops a monetary endogenous growth overlapping generations model characterized by production lags - specifically lagged capital inputs - and an inflation targeting monetary authority, and analyses the growth dynamics that emerge from this framework. The growth process is...

This paper develops a monetary endogenous growth overlapping generations model characterized by endogenous longevity and an inflation targeting monetary authority, and analyzes the growth dynamics that emerges from this framework. Besides the endogenous longevity which depends on the...

This paper presents an analysis of ethanol-gasoline price ratio in Brazil from 2000 to 2012. Since 2008 Brazilian Government has artificially frozen gasoline prices while prices of ethanol to the consumer were still liberated. Considering that annual inflation in Brazil is around 5% per year and...

This paper analyses the statistical properties of five major precious metal prices (gold, silver, rhodium, palladium and platinum) based the fractional integration modelling framework while identifying structural breaks. We use monthly data from 1972:1 to 2013:12. Our results indicate orders of...

Commodity and asset prices have a well-documented effect on economic growth, manifested through various channels. At the same time, the business cycle influences the commodity and asset prices. Whereas empirical evidence on the effect of commodity and asset prices on the long-run economic growth...

This paper uses the Markov-switching multifractal (MSM) model and generalized autoregressive conditional heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 and from January 03, 1977 to March 24, 2014. Based on...

This paper investigates the impact of macroeconomic effects of uncertainty on the conditional volatility of US-listed Real Estate Investment Trusts (REITs). To this end we employ three widely accepted US REITs indices and the two uncertainty indices constructed by Baker et al. (2013). Our sample...

The persistence property of inflation is an important issue for not only economists, but, especially for central banks, given that the degree of inflation persistence determines the extent to which central banks can control inflation. Also, not only is the level of inflation persistence that is...

This study examines the time series behaviour of nominal and real house prices within a long memory approach with non-linear trends using long span of data for the US economy, over the annual period of 1830-2013. In general, the results show a high degree of persistence in the series along with...