Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those studies of price discovery, in which stock prices of the same underlying asset are cointegrated and they exhibit multivariate GARCH. Modifying the asymptotic theories developed in...

Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those studies of price discovery, in which stock prices of the same underlying asset are cointegrated and they exhibit multivariate GARCH. Modifying the asymptotic theories developed in...

A currency attack fails on its own when the speculator suffers from her financial problem. This paper extends the existing models and argues that the monetary authority?s willingness to peg and the speculator?s cost of attack are private information. Our model thus accounts for the duration of...

Traditional "Granger-Causality" (henceforth just G-causality) concerned the conditional mean. It required that the causal variable Yt preceded the causal variable Xt+1 in time and also that Yt contained special information about Xt+1 which would be shown in the conditional mean E[Xt+1|Yt]. There...