Modern economies have been subjected to a number of shocks during the past several years such as the burst of the Internet bubble, terrorist attacks, corporate scandals, the war in Iraq, the uncertainty about energy prices, and the recent subprime mortgage crisis. In particular, during the last...

Our objective in this paper is to identify the nature of the dependence or causal relationship that exists between US inflation and commodity prices using recent methods of linear cointegration, and non-linear Granger causality. The main contribution is the construction of a noisy chaotic...

Recent empirical researches have examined the relationship between US short-term interest rates using linear as well nonlinear econometric tools. The main objective of this paper is to employ a new dynamic model that combines the bivariate noisy Mackey-Glass and the BEKK GARCH processes...