This paper develops a new model of market abuse detection in real time. Market abuse is detected, as Minenna (2003) proposed, on the basis of prediction intervals. The model structure is based on the discrete-time, extended market model introduced by Monteiro, Zaman, Leitterstorf (2007) to...

This article introduces and applies two refinements to the algorithm of solving rational expectations models of a currency union. Firstly, building upon Klein (2000), it generalizes the standard methods of solving rational expectations models to the case of time-varying nonstochastic parameters,...

Volatility persistence is a stylized statistical property of financial time-series data such as exchange rates and stock returns. The purpose of this letter is to investigate the relationship between volatility persistence and predictability of squared returns.

This paper studies flows on the labour market in Poland in 1995-2008. We show that the main driving force behind the unemployment rate is the behaviour of outflow to employment. In addition, this flow is found to be procyclical, while the separation rate is acyclical.