aggregate unemployment persistence based on externalities at a market level rather than individual-level persistence. …

performance is not significantly different from zero. The paper goes on to examine persistence in performance of these pension … schemes and identifies negative persistence at short horizons, but at time-intervals of six months to one year finds … significant positive persistence, though this positive persistence weakens at longer time intervals. …

persistence of spatial clustering across this set of socio-economic indicators through the application of a number of simple …

Hall & Yao (2003) showed that, for ARCH/GARCH, i.e. autoregressive conditional heteroscedastic …

The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in … modelling time series with time varying volatility. These include financial data, which can be particularly heavy tailed. It is … for GARCH models only, the basic idea may be applied to address the estimation procedure selection problem in a general …

GARCH model. We extend the univariate Markov-Switching GARCH of Haas, Mittnik and Paolella (2004) into a bivariate Markov …-switching GARCH model with Conditional Constant Correlation (CCC) speci…cation within each regime, though the correlation may change … across regimes. Our model allows separate state variable governing each of the three processes: bond volatility, stock …

stationary time series and for standardized innovations of GARCH models. A simulation study demonstrates the efficacy of both …

We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH … factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH coefficients and on … volatility model, uncorrelation in the levels but autocorrelation in the squares, when the rescaled innovation is common across …