It has become customary to estimate the New Keynesian Phillips Curve (NKPC) with GMM using a large instrument set that includes lags of variables that are ad hoc to the model. Researchers have also conventionally used real unit labor cost (RULC) as the proxy for real marginal cost, even though...

Even with the presence of numerous institutional players in the market, there exist a noticeable number of cash group shares which are hardly transacted. To sustain the growth of investors in the market, there is need for assuring easy and quick liquidity to the securities. To serve the same...

This paper evaluates short-run out-of-sample exchange rate predictability with real-time data for 15 OECD countries from 1973 to 2013. We consider the Taylor rule fundamentals model, where the variables that enter the Taylor rule are used to forecast exchange rate changes, and the Taylor rule...

The World Happiness Report is published by the United Nations Sustainable Development Solutions Network and contains an international ranking of national average happiness, as measured by surveys of personal life evaluations. It also contains an analysis which tries to explain the happiness...

We present a simple rational approximation to the solution of the rough Heston Riccati equation valid in a region of its domain relevant to option valuation. Pricing under rough Heston using this approximation is both fast and very accurate

In econometrics, long memory models for variance modeling like FIGARCH or FIAPARCH are characterized by a Fractional Differencing term. In order to estimate and apply these models, the infinite MacLaurin expansion of the differencing term has to be truncated at a certain level. We transfer the...

Long term memory effects in stock market indices that represent internationally diversified stocks are analyzed in this paper and the results are compared with the S&P 500 index. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. The...

We propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal and the cyclical components as stochastic processes, including the unit root models as particular...

This paper examines the predictive power of five linear hedonic pricing models for the residential market with varying complexity in their spatial and temporal structure. In contrast to similar studies, we extend the out-of-sample forecast evaluation to one-day-ahead predictions with a rolling...

The co-movement of US sovereign rates suggests a long-run equilibrium relationship.Traditional cointegrated systems need to assume that interest rates are unit roots and thus implying non-stationary and non-mean-reverting dynamics. We postulate and estimate a fractional cointegrated model...