We apply a jump GARCH model to daily returns of the ten largest international securitized real estate markets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price...

Recently, Vogelsang (1999) proposed a method to detect outliers which explicitly imposes the null hypothesis of a unit root. It works in an iterative fashion to select multiple outliers in a given series. We show, via simulations, that under the null hypothesis of no outliers, it has the right...

We propose residual based tests for cointegration using local GLS detrending (Elliott, Rothemberg and Stock (1996), ERS) to eliminate separately the deterministic components in the series. We consider two cases, one where only a constant is included and one where a constant and a time trend are...

This paper empirically assesses the wage effects of the Job Corps program, one of the largest federally-funded job training programs in the United States. Even with the aid of a randomized experiment, the impact of a training program on wages is difficult to study because of sample selection, a...

This paper discusses inference for rational expectations models estimated via minimum distance methods by characterizing the probability beliefs regarding the data generating process (DGP) that are compatible with given moment conditions. The null hypothesis is taken to be rational expectations...

In recent years, the government, of African Countries has assumed major responsibilities for economic reforms and growth. In attempting to describe their economies, economists (policymakers) in many African Countries have applied certain models that are by now widely known: Linear programming...

Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the U.S. to the other three markets; but no...

This study extends the GARCH with autoregressive conditional jump intensity in Generalized Error Distribution (GARJI-GED) model to identify the fundamental characteristics of Nikkei 225 index and futures. Furthermore, this study applied the Granger causality test to investigate whether an...

This paper discusses pitfalls in the application of the rolling trace test. This procedure is based on the iterative calculation of Johansen's (1988) trace test for the rank of a cointegration system in windows of equal length that roll over the sample. Pitfalls lie in the selection of the...

This paper proposes a comparison of three nonlinear error-correction models to account for the asymmetric and slow adjustment dynamics of the Dollar-Sterling real exchange rate over a long period (1957-2002). We conclude that two NEC models adequately describe the nonlinear mean-reverting...