This paper studies the cyclical behaviour of the annual American Gross Domestic Product (GDP) series. We show that rare events have varied effects, which give useful information on the nature and the amplitude of economic shocks. Our methodology is, more precisely, an efficient testing procedure...

This paper aims to study, in the most recent historical time period, the efficiency of the Paris Stock Exchange market. We test its weak form while analysing the stock exchange returns series by nonparametric methods, using kernel methodology in particular. In doing so, our approach extends the...

This paper analyses the cyclical behaviour of the German annual aggregate wage earnings over 179 years. Our results show that there are transitory exogenous shocks which contain predictive information for aggregate wages in a non-linear framework.

This article applies nonparametric methods to the monthly monetary stock time series of the Reichsbank, constructed in weekly data, with 2160 observations, covering the time period January 1876 to December 1920. Our analysis begins with a historical description followed by a cliometric application.

Accurate prediction of Bitcoin prices is a purported boon for risky investors, more so, if the forecasts are largely unconditional. This paper introduces a class of autoregressive fractionally integrated moving average model with asymmetric exponential generalized autoregressive score errors to...