This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...

This paper studies long economic series to assess the long-lasting effects of pandemics. We analyze if periods that cover pandemics have a change in trend and persistence in growth, and in level and persistence in unemployment. We find that there is an upward trend in the persistence level of...

A fast method for estimating the parameters of a stable-APARCH not requiring likelihood or iteration is proposed. Several powerful tests for the (asymmetric) stable Paretian distribution with tail index 1 α 2 are used for assessing the appropriateness of the stable assumption as the...

This paper improves a kernel-smoothed test of symmetry through combining it with a new class of asymmetric kernels called the generalized gamma kernels. It is demonstrated that the improved test statistic has a normal limit under the null of symmetry and is consistent under the alternative. A...

Several graphical methods for testing univariate composite normality from an i.i.d. sample are presented. They are endowed with correct simultaneous error bounds and yield size-correct tests. As all are based on the empirical CDF, they are also consistent for all alternatives. For one test,...

The Poisson regression model remains an important tool in the econometric analysis of count data. In a pioneering contribution to the econometric analysis of such models, Lung-Fei Lee presented a specification test for a Poisson model against a broad class of discrete distributions sometimes...

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...

We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....

To advance our understanding of the mechanisms through which monetary policy affect the economy, in this note we analyze the volatilities of the Mexican short-term interest rate and of the peso-dollar exchange rate under two monetary policy instruments: a non-borrowed reserves requirement target...

This paper examines the effect of macroeconomic releases on stock market volatility through a Poisson-Gaussian-GARCH process with time varying jump intensity, which is allowed to respond to such information. It is found that the day of the announcement, per se, has little impact on jump...