Granger (1966) describes how the spectral shape of an economic variable concentrates spectral mass at low frequencies, declining smoothly as frequency increases. Despite a discussion about how to assess robustness of his results, the empirical exercise focused on the evidence obtained from a...

Although real estate is believed to be the steady element of a portfolio, volatilities during the global financial crisis has thrown off its “defensive stock” status in terms of optimizing portfolio benefit. Evidence from past research have revealed the same for the Real Estate Investment...

This paper considers the persistence found in the volatility of many financial time series by means of a local Long Memory in Stochastic Volatility model and analyzes the performance of the Gaussian semiparametric or local Whittle estimator of the memory parameter in a long memory signal plus...

We construct quarterly aggregate gross and net capital stock series for the post-war U.S. economy using annual capital stock, capital depreciation, and capital discard figures along with quarterly investment series. We construct nominal and real measures of all three categories in the aggregate...

We make three contributions to using the variance ratio statistic at large horizons. Allowing for general heteroscedasticity in the data, we obtain the asymptotic distribution of the statistic when the horizon k is increasing with the sample size n but at a slower rate so that k/n¨0. The test...

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...

We fit a Bayesian time-varying parameters structural VAR with stochastic volatility to the Federal Funds rate, GDP deflator inflation, real GDP growth, and the rate of growth of M2. We identify 4 shocks–monetary policy, demand non-policy, supply, and money demand–by imposing sign...

In the time domain, the observed cyclical behavior of the real wage hides a range of economic influences that give rise to cycles of differing lengths and amplitudes. This may serve to produce a distorted picture of wage cyclicality. Here, we employ frequency domain methods that allow us...

We focus on changes in dynamic correlation during the recent fi nancial crisis. The results show different responses to this symmetric shock in V4 countries. We discuss possible specialization if the dynamic correlation increases only at certain of the frequencies. Especially, in case of the...