Ever since the appearance of the ARCH model [Engle(1982a)], an impressive array of variance specifications belonging to the same class of models has emerged [i.e. Bollerslev's (1986) GARCH; Nelson's (1990) EGARCH]. This recent domain has achieved very successful developments. Nevertheless,...

The aim of this paper is to provide a simulation-based analysis on the bahavior of the Durbin-Watson statistic as a misspecification test againstthe presence of unbalanced regressions among nonstationary fractionally integrated process. Theoretically, it is well-known that this statistic...

This note, employing a GARCH model, finds a positive and significant relationship between the level and variability of monthly inflation in India in the period 1957-2005, with causation running from inflation to uncertainty about future inflation, as hypothesized by Friedman. To the extent that...

The present study examines the long-run relationship between nominal interest rate and expected inflation in India by using three interest rates and inflation rates, based on both CPI and WPI, with the help of monthly data from April 1990 to December 2001. By using the autoregressive distributed...

In this study, we estimate a transfer function model to test the hypothesis that the U.S. leading economic indicators and the related composite index is statistically significant as an input to forecast real U.S. Gross Domestic Product (GDP). We find the leading indicators are a statistically...

This paper investigates the existence of a long run money demand function for Bangladesh during the period 1975-1997 using the cointegration and error correction modelling approach. It also examines the parameter stability of the money demand function. The empirical results suggest that there...

We present and estimate a parsimonious multi-factor affine term structure model for joint bond markets. We extend the standard affine models by focusing on joint markets and by incorporating the exchange rate dynamics in the estimation procedure. Estimation is done by means of a Kalman filter...

We present and estimate a parsimonious continuous-time multi-factor affine term structure model for the joint term structure dynamics of interest rates across countries. We extend the standard affine models by focusing on joint markets and by incorporating the exchange rate dynamics in the...

A theoretical intra-temporal model for an economy with three sectors (exportable, importable and non-tradable), two production factors (labour and capital) and Cobb Douglas (linear) technologies in the tradable (non-tradable) sectors is used to relate real exchange rate movements to factor...

We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We provide a standardised version of this distribution, obtain analytical expressions for the log-likelihood score, and explain how...