We consider a situation where the relatively ‘poor’ are concerned about their relative income status with respect to a relevant reference group. Such a concern is explicitly introduced in a utility function to study the consumption and saving behavior of the poor in terms of a static and...

This paper is a statistical time-series investigation addressed at testing the anthropogenic climate change hypothesis known as the “hockey-stick”. The time-series components of a select batch of 258 long-term yearly Climate Change Proxies (CCP) included in 19 paleoclimate datasets, all of...

This article examines the dynamic characteristics of the inflation rate in Tunisia over the last two decades, and particularly following the onset of the Arab Spring in 2010 which causes distortions in this country’s monetary policy. We focus on the two specific dimensions of the Tunisian...

There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification roles of gold by analyzing its interaction with the stock markets of...

Giraitis, Kapetanios, and Marcellino (Journal of Econometrics, 2020) proposed a kernel-based time-varying coefficients IV estimator. By using entirely different code, We broadly replicate the simulation results and the empirical application on the Phillips Curve but we note that a small coding...

We study semiparametric two-step estimators which have the same structure as parametric doubly robust estimators in their second step, but retain a fully nonparametric specification in the first step. Such estimators exist in many economic applications, including a wide range of missing data and...

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

This paper proposes new measures of the integrated variance, measures which use highfrequency bid-ask spreads and quoted depths. The traditional approach assumes that the mid-quote is a good measure of frictionless price. However, the recent high-frequency econometric literature takes the...

This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the...

A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...