This paper uses an unobserved component model to examine the relative importance of the structural and the persistence approach to unemployment. We derive the NAIRU from a standard imperfect competition model. The price- and wage-setting schedules include a measure for unemployment persistence....

The asymptotic distribution of the QML estimator for GARCH processes, with coefficients possibly equal to zero, is established. This distribution is the projection of a normal vector distribution onto a convex cone. The results are derived under mild conditions which, for important subclasses,...

A dynamic Tobit model with Time-varying parameters is proposed for the daily reaction function of the Open Market Desk of the US Federal Reserve. Such a model offers a more realistic depiction of the Desk's behavior than those of past contributions in the literature as it allows for both...

The focus in this paper is on the time series dynamics of the basis for commodity futures. These have special interest since regulation of commodity markets is much laxer than is typical for stock markets. However, although such futures contracts have been traded for several decades, they have...

A class of stochastic unit-root bilinear processes, allowing for GARCH-type effects with asymmetries, is studied. The volatility is not bounded away from zero and is minimum for non zero innovations, which are important differences with the standard GARCH. Necessary and sufficient conditions for...

This paper proposes a new way of modeling and forecasting intraday returns. We decompose the volatility of high frequency asset returns into components that may be easily interpreted and estimated. The conditional variance is expressed as a product of daily, diurnal and stochastic intraday...

This paper shows that the recent literature that tests for a long-run Fisher relationship using cointegration analysis is seriously flawed. Cointegration analysis assumes that the variables in question are I(1) or I(d) with the same d. Using monthly post-war U.S. data from 1959-1997, we show...

This paper discusses and documents G@RCH 2.0, an Ox package dedicated to the estimation and forecasting of various univariate ARCH-type models including the GARCH, EGARCH, GJR, APARCH, IGARCH, FIGARCH, FIEGARCH and FIAPARCH specifications of the conditional variance and an AR(FI)MA specification...