The ongoing unification which takes place on the European political scene, along with recent advances in consumer mobility and communication technology, raises the question whether the European Union can be treated as a single market to fully exploit the potential synergy effects from...

The national accounts is commonly known by its key-aggregates (e.g. GDP and saving) and their role in public debate and decision-making. However, the national accounts plays many different roles for many different uses. This paper provides an overview of the development of these roles and uses...

This paper provides an introductory overview of the meaning and measurement of national accounts statistics. Attention is paid to the various uses of national accounts, the role of the international guidelines, the relationship with economic theoretic and administrative concepts and the...

We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate...

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

We use annual, quarterly and monthly data from the US to show that the correlation between housing prices and transaction volume (number of existing houses sold) differs across different frequencies. While the correlation is high at the low frequencies it declines to the levels close to zero at...

WA multivariate stochastic volatility (MSV) model based on a Cholesky-type decomposition of the covariance matrix to model dynamic correlation in the observation and transition error as well as in cross leverage terms is proposed. The empirically relevant asymmetric concept of cross leverage is...

We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box-Cox transform to the matrix case. The matrix Box-Cox model of realized covariances (MBC-RCov) is based on transformations of the covariance matrix eigenvalues, while for the Box-Cox...

In this paper we intend to identify and analyze, if it is the case, an “epidemiological” relationship between forecasts of professional investors and short-term developments in the EUR/RON exchange rate. Even that we don’t call a typical epidemiological model as those ones used in biology...

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...