We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

This paper investigates the extreme dependence between the Asia-Pacific stock markets and the international crude oil market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors obtain a more detailed result on the degree and...

We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the system. The computational burden becomes manageable by approximating the mixture indicators driving the time-variation in...

In this work, we seek to investigate the existence of nonlinearities in the reaction function of the Central Bank of Brazil arising from this policymaker's uncertainties about the effects of the output gap on inflation. Theoretically, we follow Tillmann (2011) to obtain a nonlinear optimal...

This study examines the weak-form efficient market hypothesis (EMH) for the Finance Sector in Malaysian Stock Exchange, by exploring and scrutinizing the firm-level efficiency over for the period from 1st January 1997 to 31st December 2014. For this purpose, we apply panel nonlinear unit root...

This paper primarily examines whether Malaysia has had experienced any structural breaks in comparison with its main two trading partners, namely the USA and Japan in 1970s, 1980s, 1990s and 2000s. It also discusses the implications of such structural breaks to Malaysia's economic globalization...

Após a abertura comercial em 1998, grandes mudanças ocorreram no comércio exteriornacional devido sucessivos choques cambiais aos quais a economia foi exposta. A literaturade referência sugere que grandes choques na taxa de câmbio induzem mudanças persistentesna relação entre a taxa de...