The long-run demand for US real M1 in the post Second World War period (1954-96) is investigated. The empirical investigation is conducted by means of Johansen multivariate cointegration tests and error correction models. Results show that a stationary long-run M1 demand function is only found...

The stochastic structure of time-varying betas from 15 companies in the UK is investigated. Time-varying betas are estimated by means of the bivariate MA-GARCH model. The stochastic structure is investigated by means of two fractional integration tests, the Geweke and Porter-Hudak and the...

This paper investigates empirically the effects of real interest rate volatility on demand for total housing and new housing in the USA. The investigation looks at monthly data from 1975 to 2006 using the autoregressive distributed lag bounds testing approach to co-integration and the Hendry...