Similar Search Results

Common Serial Correlation and Common Business Cycles : A Cautious Note

Cubadda, Gianluca - 1999

This paper examines the frequency-domain implications of the serial correlation common feature in order to evaluate its merits as an indicator of common business cycles among economic variables. It is shown that the presence of the serial correlation common feature in the first differences of a...

Persistent link: https://www.econbiz.de/10014184329

Nature and causes of economic fluctuations : evidence from the U.S. based on a nonlinear autoregressive integrated process

Li, Xiang; He, Zonglu - In: International journal of empirical economics 2 (2023) 3, pp. 1-21

Business cycles and economic growth have long been studied separately, hindering understanding of the nature and causes of economic fluctuations and growth. Here, we present an economic model that incorporates both deterministic trends and persistent fluctuations, derived from a general economic...

Persistent link: https://www.econbiz.de/10014430575

Filtering persistent and asymmetric cycles

Donayre, Luiggi - In: The B.E. journal of macroeconomics 23 (2023) 1, pp. 473-495

Persistent link: https://www.econbiz.de/10013556558

Random walk smooth transition autoregressive models

Anderson, Heather M.; Low, Chin Nam - In: Nonlinear time series analysis of business cycles, (pp. 247-281). 2006

This paper extends the family of smooth transition autoregressive (STAR) models by proposing a speci.cation in which … within a regime switching framework, but in contrast to the time varying STAR (TV-STAR) speci.cation introduced by Lundbergh … et al (2003), structural change in our random walk STAR (RW-STAR) setting follows a stochastic process rather than a …

Persistent link: https://www.econbiz.de/10003309371

Does non-linearity in exchange rate hold in Nigeria? : evidence from smooth transition autoregressive model

Dada, James Temitope; Olomola, Phillip Akanni; … - In: International journal of monetary economics and finance … 14 (2021) 2, pp. 152-165

Persistent link: https://www.econbiz.de/10012515399

Arbitrage bounds and the time series properties of the discount on UK closed-end mutual funds

Copeland, Laurence - In: Journal of business finance & accounting : JBFA 34 (2007) 1/2, pp. 313-330

Persistent link: https://www.econbiz.de/10003432226

On mean reversion in real interest rates : an application of threshold cointegration

Jumah, Adusei; Kunst, Robert M. - 2002

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....

Persistent link: https://www.econbiz.de/10009725013

Modelling realized variance when returns are serially correlated

Oomen, Roel C. A. - 2004

Persistent link: https://www.econbiz.de/10002194843

Direct and indirect forecasting of the money multiplier and velocity of circulation in the United Kingdom

Moosa, Imad A.; Kim, Jae H. - In: International economic journal 18 (2004) 1, pp. 103-118

Persistent link: https://www.econbiz.de/10003244428

On mean reversion in real interest rates : an application of threshold cointegration

Jumah, Adusei; Kunst, Robert M. - 2002

Persistent link: https://www.econbiz.de/10001642276