Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function. Most discussions in the literature address these...

This article presents a bifurcation theory of smooth stochastic dynamical systems that are governed by everywhere positive transition densities. The local dependence structure of the unique strictly stationary evolution of such a system can be expressed by the ratio of joint and marginal...

This discussion paper led to an article in the <I>Journal of Risk and Financial Management</I> (2014). Volume 7(2), pages 80-109.<P> In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where...</p></i>

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacic). We explore the relationship between the S&P 500 daily continuously compounded...

A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

This paper proposes a new set of transformed polynomial functions that provide a flexible setting for nonlinear autoregressive modeling of the conditional mean while at the same time ensuring the strict stationarity, ergodicity, fading memory and existence of moments of the implied stochastic...

We propose a new semiparametric observation-driven volatility model where the form of the error density directly influences the volatility dynamics. This feature distinguishes our model from standard semiparametric GARCH models. The link between the estimated error density and the volatility...

This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...

Socio-economic interrelationships among regions can be measured in terms of economic flows, migration, or physical geographically-based measures, such as distance or length of shared areal unit boundaries. In general, proximity and openness tend to favour a similar economic performance among...

This paper proposes the use of a double correlation coefficient as a nonpara- metric measure of phase-dependence in time-varying correlations. An asymp- totically Gaussian test statistic for the null hypothesis of no phase-dependence is derived from the proposed measure. Finite-sample...