In this paper we study 2-state Markov switching VAR models of monthly unemployment and inflation for three countries … with high or low unemployment volatility. We find that MS-VAR models seem to provide a better description of the data than … variance in unemployment. In the U.S. case we find that the variance of unemployment is lower in the low inflation regime than …

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …

This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which …

the recently developed nonlinear autoregressive distributed lag cointegration technique. Tourism development is proxied by …