In this study, we examine the influence of the COVID-19 pandemic on stock market contagion. Empirical analysis is conducted on six major stock markets using a wavelet-copula GARCH approach to account for both the time and the frequency aspects of stock market correlation. We find strong evidence...

In this paper we investigate the dynamic features of house prices in London. Using a generalized smooth transition model (GSTAR) we show that dynamic symmetry in price cycles in the London housing market is strongly rejected. We also show that the GSTAR model is able to replicate the features of...

Using data from the third UK Community Innovation Survey we model the usage of e-business across and within firms in the UK in the year 2000 as a single observation upon an integrated process of inter- and intra-firm diffusion. The intra-firm dimension is a significant extension to standard...

This paper considers dynamic features of house prices in metropolises that are characterized by high degree of internationalization. Using the wavelet coherency procedure the degree of co-movement and causality between housing, stock markets and macroeconomic uncertainty are investigated. In...

In this article, we employ a time-varying GARCH-type specification to model inflation and investigate the behaviour of its persistence. Specifically, by modelling the inflation series as AR(1)-APGARCH(1,1)-in-mean-level process with breaks, we show that persistence is transmitted from the...

In this article, we employ a time-varying GARCH-type specification to model inflation and investigate the behaviour of its persistence. Specifically, by modelling the inflation series as AR(1)-APGARCH(1,1)-in-mean-level process with breaks, we show that persistence is transmitted from the...