We examine the return and volatility of the Standard & Poor's/Case--Shiller (S&P/CS) real estate indices for evidence of long memory in the form of fractional differencing. Examining the long memory properties of these indices is relevant, in part, because effectively hedging real estate price...

This study contrasts the (apparent) random walk behaviour of the real exchange rate to chaotic dynamics, using (US) dollar-based real exchange rates for 17 OECD countries (covering the period 1957:1-1995:4). Tests for deterministic noisy chaos are carried out using the Nychka, Ellner, Gallant...

This article employs linear Granger causality tests and the nonlinear causality test of Baek and Brock (1992) and Hiemstra and Jones (1994), as recently modified by Diks and Panchenko (2005b), to re-examine the dynamic relation between daily Eurodollar and US certificate of deposit interest...

This paper uses daily, monthly, and quarterly observations for the Canadian dollar - US dollar nominal exchange rate over the recent flexible exchange rate period (from 2 January 1973 to 11 June 2004), and a new statistical model of exchange rate dynamics, developed by Engel and Hamilton to test...

The welfare implications of alternative monetary aggregation procedures are investigated by providing a comparison among simple-sum, Divisia, and currency equivalent monetary aggregates at different levels of monetary aggregation. Evidence is found that the choice of monetary aggregation...

In this article we use Bayesian classification and finite mixture models to extract information from Levine's (2002) cross-country database and reconsider the relationship between financial structure and long-run economic growth. Our methods, based on statistical similarities and...