This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different long memory approaches (R/S analysis and fractional integration) we show that this market is inefficient and the degree of persistence is not the same in different stages of the...

Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The present paper examines the issue of long memory in...

Modeling fractional cointegration relationships has become a major topic in applied time series analysis as it steps back from the traditional rigid I(1)/I(0) methodology. Hence, the number of proposed tests and approaches has grown over the last decade. The aim of this paper is to study the...

This paper considers the application of long memory processes to describe inflation with seasonal behaviour. We use three different long memory models taking into account the seasonal pattern in the data. Namely, the ARFIMA model with deterministic seasonality, the ARFISMA model, and the...

Using Co-integration Tests, Granger-Causality Tests, and OLS, this study empirically investigates the determinants of the rate of return on savings and loan assets over the 1965-1991 period. It is found that it is determined by the mortgage rate, the capital/asset ratio, the price of imported...

In this paper the results of testing the causal interdependences between the gross fixed capital formation and GDP in Poland are presented. Some recent theoretical deliberations (like alternative method of testing for direction and sign of long run causality) and econometric tests (bootstrap...

This paper investigates volatility spillover across crude oil market and wheat and corn markets. The corn commodity is taken here to assess the impact of change in demand for biofuel on wheat market. Results of multivariate GARCH model show evidence of corn price volatility transmission to wheat...

Production technology is the main driving force of economic growth while upgraded technology reduces carbon emission. This paper investigates the long run relation with short run dynamics using the USA data for the period of 1963 -2007. This paper observes that production technology is the cause...

The factor-augmented vector autoregressive (FAVAR) model, first proposed by Bernanke, Bovin, and Eliasz (2005, QJE), is now widely used in macroeconomics and finance. In this model, observable and unobservable factors jointly follow a vector autoregressive process, which further drives the...

India has exhibited high variability in inflation during the last eight years owing to both internal and external factors. The Global Financial Meltdown, recurrent increase in global oil prices, wage employment programmes, widening current account deficits etc resulted in fluctuations in...