This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...

We represent the dynamic relation among variables in vector autoregressive (VAR) models as directed graphs. Based on these graphs, we identify so-called strongly connected components (SCCs). Using this graphical representation, we consider the problem of variable selection. We use the relations...

Using a battery of timely multivariate time series techniques I study the Bitcoin cryptocurrency price series and web search queries with regard to their mutual predictability, Granger-causality and cause-effect delay structure. The Bitcoin is at first treated as a general currency, then as a...

Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...

We analyze the influence of newly constructed globalization measures on regional growth for the EU-27 countries between 2001 and 2006. The spatial Chow-Lin procedure, a method constructed by the authors, was used to construct on a NUTS-2 level a complete regional data for exports, imports and...

The Russian labor market is not homogenous, representing a diversity of regional segments. The paper presents a statistical assessment of interregional differences in youth unemployment in Russia. The unemployment rate was decomposed into fundamental and cyclical components, which was essential...

The degree of comovement of economic activity across states or regions is an issue of utmost importance to policymakers. Asymmetric business cycles are often seen as an impediment to the formation of a common currency area. However, it has been argued that a common monetary policy in itself...

The measure of the regional disparities in the European Union was widely approached on the literature. Recent years have seen a spate of studies taking into account the spatial aspect of data in the analysis of convergence from an empirical viewpoint, or integrating spatial interdependencies...

This paper contributes to the recent literature in spatial econometrics that focuses on space-time data modeling implementing a multi-location time-series statistical framework to analyze a regional system. Therefore, taking as a point of departure the Global Vector Autoregression approach...

Research and development (R&D) is an important driver of productivity, competitiveness and economic growth, both nationally and regionally. In Romania all national development strategies acknowledged R&D as a priority sector, but the territorial component of the national innovation system is...