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The dynamics of public debt in Serbia : a nonlinear analysis

Andric, Vladimir; Arsic, Milojko; Mladenovic, Zorica - 2016

We analyse the dynamics of public debt in Serbia between 2004Q3 and 2014Q3. Our results are as follows: i) traditional unit root tests do not reject the unit root hypothesis for public debt; ii) unit root tests robust to sample size and high AR (1) coefficient provide mixed evidence with respect...

Persistent link: https://www.econbiz.de/10011520252

Bayesian analysis of nonlinear exchange rate dynamics and the purchasing power parity persistence puzzle

Lo, Ming Chien; Morley, James C. - In: Journal of international money and finance 51 (2015), pp. 264-284

Persistent link: https://www.econbiz.de/10011475263

Testing for a unit root in a nonlinear quantile autoregression framework

Li, Haiqi; Park, Sung Y. - In: Econometric reviews 37 (2018) 6/10, pp. 867-892

Persistent link: https://www.econbiz.de/10012040418

Do real exchange rates in small Central and Eastern European economies obey purchasing power parity?

Bekő, Jani; Kavkler, Alenka - In: International journal of sustainable economy 11 (2019) 2, pp. 121-140

Persistent link: https://www.econbiz.de/10012050857

A new unit root test against asymmetric ESTAR nonlinearity with smooth breaks

Ranjbar, Omid; Chang, Tsangyao; Elmi, Zahra Mila; Lee, … - In: Iranian economic review : journal of University of Tehran 22 (2018) 1, pp. 51-62

Persistent link: https://www.econbiz.de/10011977114

Persistence, non-linearities and structural breaks in European stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...

Persistent link: https://www.econbiz.de/10012024535