This paper examines the daily volatility of changes in yield on the 10-year Treasury note utilizing the iterated cumulative sums of squares algorithm (Inclan and Tiao, 1994). The ICSS algorithm can detect regime shifts in the volatility of the interest rate changes. A general model allows for...

This paper examines the daily volatility of changes in the 10-year Treasury note utilizing the iterated cumulative sums of squares algorithm [C. Inclan, G. Tiao, Use of cumulative sums of squares for retrospective detection of changes of variance, J. Am. Stat. Assoc. 89 (1994) 913–923]. The...

This paper examines the relationship among manufacturing unit labor costs in the United States, United Kingdom, and Canada. The analysis is conducted within the context of an economic system utilizing the recently developed method of generalized impulse response analysis to simulate the...

The issue of production volatility is important to firms interested in managing their supply chain. This paper empirically estimates the volatility of industrial production using the GARCH and EGARCH time series models. Three questions are addressed: Can volatility be predicted? Is the effect of...