This research examined the impact of the 3 May 1999 tornado on the Oklahoma City labour market. We estimated time series models that allow for time-varying variance in employment growth. The models include intervention variables designed to capture the tornado's effect at initial impact as well...

This article employs threshold cointegration and error-correction models to the default risk premium. The approach allows asymmetry in the dynamic process that has not been captured in previous studies of corporate credit spreads. The results indicate that the adjustment process is asymmetric...