This study examines the time series properties of inflation in order to emphasize the nature of the shocks to the process. In particular, we offer evidence that US inflation may be characterized by low frequency permanent shocks, as opposed to the high frequency permanent shocks that is commonly...

This paper uses both linear and nonlinear causality tests to reexamine the cross-autocorrelation between the returns on large and small firms. Consistent with previous results, we find that large firms lead small firms, but small firm autocorrelation, nonsynchronous trading, or a differential...