The realized volatility of financial returns is characterized by persistence and occurrence of unpredictable large increments. To capture those features, we introduce the Multiplicative Error Model with jumps (MEM-J). When a jump component is included in the multiplicative specification, the...

This paper studies the economic integration of East Asian economies among one another and with the US using co-movement of stock market prices. Both time-varying correlations and regressions are employed. We have traced the increased integration from 1980 to 2011 among the NIEs of Korea, Hong...

This paper studies the robust estimation and inference of threshold models with integrated regressors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

This paper employs a conditional quantile regression approach to quantify the dynamics of depression among adolescents, and examine the extent of true state dependence in youth depression conditional on unobserved individual heterogeneity and family socio5economic status. We use data on the...

Inflation expectations have recently received increased interest because of the uncertainty created by the Federal Reserve’s unprecedented reaction to the Great Recession. The effect of this reaction on the real economy is also an important topic. In this paper I use various surveys to produce...

We propose an automatic model order selection procedure for k-factor GARMA processes. The procedure is based on sequential tests of the maximum of the periodogram and semiparametric estimators of the model parameters. As a byproduct, we introduce a generalized version of Walker's large sample...

This study investigates the role of the institutions as a determinant of foreign direct investment (FDI) in the case of Pakistan by applying the autoregressive distributed lag (ARDL) cointegration technique. The results demonstrate that the institutional quality exerts long-run impact in...

This paper investigates the implications of time-varying betas in factor models for stock returns. It is shown that a single-factor model (SFMT) with autoregressive betas and homoscedastic errors (SFMT-AR) is capable of reproducing the most important stylized facts of stock returns. An empirical...

The question whether alcohol in general, and different types of alcoholic beverages in particular (e.g., beer) are normal or inferior goods is a heavily disputed issue within economics and health research. Based on recently developed theories of preference adjustment this paper argues that the...

In this paper, we investigate the main features of the Italian financial cycle, extracted by means of a structural trend-cycle decomposition of the credit-to-GDP ratio, using annual observations from 1861 to 2011. In order to draw conclusions based on solid historical data, we provide a thorough...