In this work, we study the short- and long-run properties of different inequality series vis-à-vis the most important macroeconomic series for a set of OECD countries. We employ standard tools of time series macro-econometrics (e.g. stationarity tests, detrending, co-movements analysis,...

The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities.We...

With strong historical ties, and economic linkages that have continued to grow after the fall of the Soviet Union, the Baltic and Nordic regions form a unique economic space. How interconnected are these regions, both to each other and to the rest of the world? Greater connections can help...

The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities.We...

The identification of asymmetric conditional heteroscedasticity is often based on samplecross-correlations between past and squared observations. In this paper we analyse theeffects of outliers on these cross-correlations and, consequently, on the identification ofasymmetric volatilities. We...