Consensus estimates put the half-life of deviations from purchasing power parity (PPP) at about four years (Rogoff, 1996). However, conventional least squares estimates of half-lives are biased downward. Accordingly, as a preferred measure of the persistence of real exchange rate shocks, this...

The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By using a Markov regime-switching model, it identifies two regimes representing high- and low-volatility periods. The estimation results show not only that volatilities are...

This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...

This paper introduces a time-varying threshold autoregressive model (TVTAR), which is used to examine the persistence of deviations from PPP. We find support for the stationary TVTAR against the unit root hypothesis; however, for some developing countries, we do not reject the TVTAR with a unit...

Daily evapotranspiration is a major component in crops water consumption management plans. Consequently, forecasting of daily evapotranspiration is the keystone of any effective water resources management plans in fragile environment similar to the Nile Delta region. The estimation of daily...

Die Prognose von makroökonomischen Zeitreihen steht häufig vor dem Problem, dass die verwendeten Indikatoren und die Zielzeitreihe in verschiedenen Frequenzen vorliegen. So ist das Bruttoinlandsprodukt nur auf Quartalsbasis verfügbar, während die meisten Indikatoren, wie z.B. das ifo...