Since 1998 Hong Kong has experienced over 16 quarters of deflation. Some asset prices such as factory and office space prices started to fall in early 1990s, a long time before the Asian crisis. The number of firms and businesses that have moved out of Hong Kong are not readily available, but it...

The method proposed in this chapter is making use of the bispectrum transformation to estimate the level of integration of a fractionally integrated time series. Bispectrum ransformation transforms the series into a two dimensional frequency space, and thus has higher information content...

The study develops a parsimonious representation of the macro economy of Bangladesh. It aims to serve a dual purpose. First, it provides a framework for making rational and consistent predictions about Bangladesh's overall economic activity, the standard components of the balance of payments,...

A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and β-mixing solution is established under a mild assumption on the density of the underlying independent process. We give sufficient conditions for the existence of moments. The analysis...

We propose a powerful wavelet method to identify structural breaks in the mean of a process. If there is a structural change in the mean, the sum of the squared scaling coefficients absorbs more variation, leading to unequal weights for the variances of the wavelet and scaling coefficients. We...

The concept of NAIRU summarized the observed negative correlation between the unemployment rate and the inflation rate for a number of countries. This correlation persuaded some analysts of the impossibility for governments to simultaneously target both low unemployment and price stability....

This paper presents a new modelling framework for day–ahead electricity prices based on multivariate Lévy semistationary (MLSS) processes. Day–ahead prices specify the prices for electricity delivered over certain time windows on the next day and are determined in a daily auction. Since...