Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods...

Infra-monthly time series have increasingly appeared on the radar of official statistics in recent years, mostly as a consequence of a general digital transformation process and the outbreak of the COVID-19 pandemic in 2020. Many of those series are seasonal and thus in need for seasonal...

In this paper we analyze the relative performance of 13 VaR models using daily returns of WTI, Brent, natural gas and heating oil one-month futures contracts. After obtaining VaR estimates we evaluate the statistical significance of the differences in performance of the analyzed VaR models. We...

This paper analyses the degree of inflation persistence in the EU15, the euro area and each of its member states using disaggregate price indices from the Harmonised Index of Consumer Prices. Our results reveal substantial heterogeneity across countries and indices. The overall results, based on...

In this study, we use the threshold unit root test proposed by Caner and Hansen (2001) to re-investigate the time-series properties of stock prices for the nine transition countries during the 2000.10 to 2010.11 period. The empirical results from our threshold unit test indicate that the null...

It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half-lives under the assumption of a linear adjustment of real exchange rates. However, inspired by trade cost models, nonlinear adjustment has been widely employed in recent empirical...

We consider a nonparametric test for the null of seasonal unit roots in quarterly time series that builds on the RUR (records unit root) test by Aparicio, Escribano, and Sipols. We find that the test concept is more promising than a formalization of visual aids such as plots by quarter. In order...

Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination...