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The relationship between self-employment and unemployment in the long-run : a panel cointegration approach allowing for breaks
Saridakis, George; Mendoza González, Miguel Ángel; … - In: Journal of economic studies 43 (2016) 3, pp. 358-379
Persistent link: https://www.econbiz.de/10011690151
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Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
Ericsson, Neil R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 377-398
Persistent link: https://www.econbiz.de/10011649116
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Purchasing power parity and structural instability in the US/UK exchange rate
Karoglou, Michail; Morley, Bruce - In: Journal of international financial markets, … 22 (2012) 4, pp. 958-972
Persistent link: https://www.econbiz.de/10009582495
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Forecasting inflation with gradual regiem shifts and exogenous information
González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - 2009
Persistent link: https://www.econbiz.de/10003849428
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Forecasting inflation with gradual regime shifts and exogenous information
González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - 2011
We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the inflation process into a slowly moving nonstationary...
Persistent link: https://www.econbiz.de/10009238009
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Forecasting Inflation with Gradual Regime Shifts and Exogenous Information
Hubrich, Kirstin - 2011
We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the inflation process into a slowly moving nonstationary...
Persistent link: https://www.econbiz.de/10013122536
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Rethinking Long Memory and Structural Breaks in the Forward Premium
Li, Xiaoming - 2009
This paper documents new results that the ability of structural breaks to explain away non-stationary long memory in the forward premium weakens considerably with higher-frequency data. For daily data, removing structural breaks does not make non-stationary long memory stationary, contrary to...
Persistent link: https://www.econbiz.de/10013159266
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Did Brexit Lead to a Structural Break in Stock Returns of Select EU Countries? – A Time Series Econometric Investigation
Shahani, Rakesh - 2018
The present study is an attempt to investigate the impact of an important event ‘Britain's exit from the EU, BREXIT, i … June 24, 2016, resulted in causing any structural break in the stock index movement in the select five EU member countries … prices of the major indices of these five EU nations. The tools used to analyze the impact of the event, BREXIT, are CUSUM …
Persistent link: https://www.econbiz.de/10012908808
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Did BREXIT lead to a structural break in stock returns of select EU countries? : a time series econometric investigation
Shahani, Rakesh; Subhan, Muhammad - In: The IUP journal of financial risk management : IJFRM 15 (2018) 2, pp. 22-36
Persistent link: https://www.econbiz.de/10011988922
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Asymmetric adjustment and smooth breaks in dividend yields : evidence from international stock markets
Chen, Shyh-Wei; Xie, Zixiong - In: International review of economics & finance : IREF 48 (2017), pp. 339-354
Persistent link: https://www.econbiz.de/10011747311