This paper examines the causal relationship between insurance market penetration and per capita economic growth in 19 Eurozone countries for the period 1980-2014. We use three different indicators of insurance market penetration (IMP), namely life insurance penetration, non-life insurance...

Newly developed and advanced methods for nonlinear time series analysis are in general not available in standard software packages. Moreover, their implementation requires substantial time, computing power as well as programming skills. The recent results on lag and bandwidth selection methods...

This paper seeks to quantify the long-term financial impact of negative word of mouth (NWOM), an issue that has long challenged extant research. We do so with real-world data on firm security prices. The developed time-series models innovatively uncover (1) short- and long-term effects of NWOM...

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...