Using fractional integration and GARCH modeling techniques, this paper investigates the dynamic properties of UK interest rates. We find evidence that, contrary to previous studies for the US and Canada, short rates are more nonstationary compared to longer rates. Further, differences in...

The random-walk hypothesis of asset prices suggests that prices traded in a market cannot be predicted based on historical information. Employing unsecuritized UK commercial property returns, we analyze this hypothesis. Our results uncover multiple changes in persistence in both aggregate and...

In this paper we aim to analyse the dynamics of unemployment in a group of Central and Eastern European Countries (CEECs). The CEECs are of special importance for the future of the European Union, given that most of them have recently become member states, and labour flows have been seen to rise...

This study investigates cross-sectionally the impact of economic and property factors on the returns of UK property companies and real estate investment trusts. By applying structural time-series modelling and the Kalman Filter to obtain unexpected changes or innovations in selected economic and...

The aim of this paper is to provide additional evidence on the purchasing power parity empirical fulfillment in a pool of OECD countries. We apply the Harvey et al. (2008) linearity test and the Kruse (2010) nonlinear unit root test. The results point to the fact that the purchasing power parity...

In recent years, person-to-person wagering on Internet ‘betting exchanges’ (sometimes known as ‘matched betting’) has become an increasingly important medium for betting on horse racing, sports and special events. Established gambling operators have argued that betting exchanges should...

This article develops a dynamic game-theoretic model of optimizing strategic behaviour by football teams. Teams choose continuously between defensive and attacking formations and between a non-violent and a violent playing style. Starting from the end of the match and working backwards, the...

In this paper we provide an insight into the inflation dynamics in a panel of Central and Eastern European countries. These countries are selected because of their increasing importance in the EU and their likely increased future importance in monetary policy decisions inside the euro area. By...

In this paper we aim at testing the inflation persistence hypothesis as well as modelling (using logistic smooth transition autoregressive, LSTAR, models) the long run behaviour of inflation rates in a pool of African countries. In order to do so, we rely on unit root tests applied to nonlinear...

Empirical applications of the Tullock contest model are rare, due in part to the non-observability of effort. This paper presents an application of the standard Tullock model in a setting where effort can be observed and explained. A simple contest model is used to predict levels of effort in...