The central banks introduce and implement the monetary and financial stabilities policies, going from the accurate estimations of national macro-financial indicators such as the Gross Domestic Product (GDP). Analyzing the dependence of the GDP on the time, the central banks accurately estimate...

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...

This study tests for the presence of linear and nonlinear dependences in returns and volatility for six agricultural futures daily prices series, three traded on MATIF Euronext (wheat, corn, and rapeseed), and three traded on Chicago Board of Trade (red winter wheat, corn, and soybean) over the...

The aim of this article is to highlight a number of problems due to a rather „mechanical“ application of the Hodrick-Prescott Filter and its possible implication for the monetary policy decision-making process. The author concludes that HP filter is not able to estimate the potential output,...

This paper is aimed at testing for nonlinearity and chaos in Investment Grade CDS indices of US and Europe. For this exercise, the author has chosen the two most liquid indices, namely CDX.NA.IG (US) and iTraxx.Europe (Europe). BDS test (Brock, Dechert, & Scheinkman, 1987) is employed to test...

In this study, asymmetric behavior of unemployment rate is investigated between years 1923 and 2011. In this regard, we employ linear unit root tests and Markov Switching model. According to unit root test results, unemployment rate data is not stationary in level, while the first difference of...

Taking into account that the BDS test—which is used as a misspecification test applied to standardized residuals from the GARCH(1,1) model—is characterized by size distortion and departure from normality in finite samples, this paper obtains the critical values for the finite sample...

The majority of empirical literature on random walk behavior has interested on developed and emerging markets. However, few studies have been carried out to test the randomness of returns series on less developed markets. Damascus securities exchange is a young and nascent market in the Middle...

This paper investigates the asymmetry and long-memory volatility behavior of the Malaysian Stock Exchange daily data over a period of 1991–2005. The long-spanning data set enable us to examine piecewise before, during and after the economic crisis encountered in the Malaysian stock market. The...