We investigate whether business cycle dynamics in seven industrialized countries (the G7) are characterized by asymmetries in conditional mean. We provide evidence on this issue using a variety of time series models. Our approach is fully parametric. Our testing strategy is robust to any...

We investigate whether business cycle dynamics in seven industrialized countries (the G7) are characterized by asymmetries in conditional mean. We provide evidence on this issue using a variety of time series models. Our approach is fully parametric. Our testing strategy is robust to any...

In this research, monthly forward exchange rates are evaluated for possible existence of time varying risk premia in Singapore forward foreign exchange rates against US dollar. The time varying risk premia in Singapore dollar is modeled using non-Gaussian signal plus noise models that encompass...

We investigate the persistence in monthly KSE100 excess stock returns over the Treasury bills rates using non-Gaussian state space or unobservable component model with stable distributions and volatility persistence. Results from our non-Gaussian state space model, which is an improvement over...

In the present research we work with excess returns for an emerging stock market i.e. Jamaican Stock Price Index for the determination of volatility persistence and persistence in the mean returns series. We model excess returns in this stock market using state space or unobserved component...

We investigate whether business cycle dynamics in seven industrialized countries (the G7) are characterized by asymmetries in conditional mean. We provide evidence on this issue using a variety of time series models. Our approach is fully parametric. Our testing strategy is robust to any...