We consider Taylor’s stochastic volatility model (SVM) when the innovations of the hidden log-volatility process have a Laplace distribution (ℓ <Subscript>1</Subscript> exponential density), rather than the standard Gaussian distribution (ℓ <Subscript>2</Subscript>) usually employed. Recently many investigations have employed ℓ <Subscript>1</Subscript>...</subscript></subscript></subscript>

This paper is intended to test and estimate time-varying elasticities for gasoline demand in Switzerland. For this purpose, a smooth time-varying cointegrating parameters model is investigated in order to describe smooth mutations of the Swiss gasoline demand. The methodology, based on Chebyshev...

The purpose of this paper is to provide a flexible parametric methodology to measure nonmonotone relationships between two variables. Indeed, in this context, the Pearson rho measure fails because it is only consistent for linear monotone dependence. Using the well-known return-volume...

This paper proposes a simple procedure to test the hypothesis of no cointegration against both threshold cointegration and an intermediate possibility that we call partial cointegration. Asymptotic theory is devel- oped, the power of the proposed test is analysed through simulations and an...

We consider the problem of estimating the volatility of a financial asset from a time series record of length T. We believe the underlying volatility process is smooth, possibly stationary, and with potential abrupt changes due to market news. By drawing parallels between time series and...

In this note, we investigate a test for the existence of a middle "band of inaction" in a three-regime threshold vector error correction model (TVECM). For this purpose we propose a supremum Wald statistic, derive its limiting distribution and calculate its critical values through simulations.

We consider Taylor's stochastic volatility model when the innovations of the hidden log-volatility process have a Laplace distribution (l1 exponential density), rather than the standard Gaussian distribution (l2) usually employed. Using a distribution with heavier tails allows better modeling of...

In this paper a three-regime multivariate threshold vector error correction model (TVECM) with a "band of inaction" is formulated to examine the expectation hypothesis of the term structure (EHTS) of interest rates and uncovered interest rate parity (UIRP) for U.S. and Swiss rates. Tests for no...

The paper generalises estimation and inference procedures for a threshold VECM with more than one cointegrating relation. We derive estimators of long-run parameters and loading factors by means of a reduced rank regression. We provide their asymptotic distributions and propose a testing...

In this paper we extend the FMLS-based CUSUM cointegration test (Xiao and Phillips, 2002) for testing the smooth time-varying cointegration null hypothesis. For this purpose we use Chebyshev time polynomials to specify time-varying coefficients under the null. We derive the limiting distribution...