We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor’s...

This paper presents a simple condition for optimal asymmetric labour (capital) taxation/subsidization in a two-sector model with logarithmic utilities and Cobb-Douglas production functions, linked to demographic factors: fertility rate and longevity. The paper shows that depending on parameter...

An increasing variety of data frequencies available in economics, finance, etc. gives rise to a question how to build and estimate a regression model with variables observed at different frequencies. In a unifying framework of ("m,d")-aggregation we consider various approaches by discussing some...