This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...

Persistence is the speed with which a time series returns to its mean after a shock. Although several measures of persistence have been proposed in the literature, when they are empirically applied, the different measures indicate incompatible messages, as they differ both in the level and the...

The objective of this paper is to analyze the degree of persistence of final energy demand in Portugal. Our results suggest the presence of a strong level of persistence for aggregate final energy demand. Final demand for gas is the most persistent component of energy demand, while the final...

According to the conventional view, fluctuations in real gross national product (GNP) represent temporary changes of economic output from its long-term trend that treats real GNP as a trend stationary rather than unit root process. Examination of this conventional view is crucial since the...

The detection and measurement of the level of persistence on aggregate and disaggregate private consumption in Italy, Norway and United Kingdom is the main focus of the paper. Using a non-parametric methodology applied to annual data it is concluded that that one cannot reject the presence of a...

The purpose of this paper is to measure the degree of persistence of the overall, core, food and energy Harmonized Indexes of Consumer Prices for the European Monetary Zone (HICP-EAs) and to identify its implications for decision-making in the private sector and in public policy. Using a...

The persistence properties of economic time series has been a primary object of investigation in a variety of guises since the early days of econometrics. This paper suggests investigating the persistence of processes conditioning on their history. In particular we suggest that examining the...

The paper deals with the detection and measurement of the level of persistence on aggregate private consumption in Portugal, USA, European Union and EuroZone as well as on some categories of aggregate consumption in Portugal. By the use of a non-parametric methodology applied to monthly data...

The purpose of this paper is to measure the degree of persistence of the overall, core, food and energy Harmonized Indexes of Consumer Prices for the European Monetary Zone (HICP-EAs) and to identify its implications for decision-making in the private sector and in public policy. Using a...