Persistence in economic variables is common. We re-examine that using a time-varying parameter model. Results support a substantial reduction in persistence, particularly, when allowing for time-variation in the constant. This has important implications for policy-making and the effect of shocks.

Using data spanning 200 years we examine the nature of the long-run cointegrating behaviour between real output and real stock prices. A standard cointegration framework demonstrates that such a long-run relationship exists with both variables exhibiting significant equilibrium reversion, albeit...

This paper argues that dividend yield stock return predictability is time-varying. We conjecture that such time-variation is linked to the business cycle. Employing monthly data for US sector portfolios we estimate 5-year rolling fixed window predictive regressions. The resulting series of...

This paper examines the forecasting ability of the dividend-price ratio for international stock market returns. Hitherto, existing research has only considered this issue in sample and in a linear framework. Hence, this paper provides the first systematic study of non-linear forecasting within...

Recent empirical finance research has suggested the potential for interest rate series to exhibit non-linear adjustment to equilibrium. This paper examines a variety of models designed to capture these effects and compares both their in-sample and out-of-sample performance with a linear...

Recent research has suggested that intra-day volatility may possess a component structure, though views differ as to whether this is the consequence of heterogeneous information arrival or the actions of heterogeneous market agents. Estimation results for a HARCH conditional variance model which...

Using recursive and rolling estimation evidence is reported that STAR non-linearity is ever present within the DJIA. Further, the parameters of interest exhibit some temporal dependence. These results suggest that non-linearity is a regular feature of the data that should be modelled and used in...