This paper pays attention to the Spanish fresh meat market, by analysing how the different stages of the market chain interact and so, investigating the presence of market power. In this paper, we use weekly data for the period 2005-2007, to examine the presence of market power in the meat...

New methods to forecast volatility are usually compared to simple methods like weighted moving averages or GARCH (1, 1) models. In this paper, we provide new benchmark methods which are more accurate but still very simple. In an empirical study of daily returns on major world indices, our new...

Orthogonalised impulses are the standard way to isolate shocks to variables in a vector error correction model. While using the Cholesky decomposition to adjust interdependencies of the shocks, the ordering of the variables on the stage of estimation has a great impact on the resulting impulse...

This paper investigates the effect of spillover (i.e., causality in variance) on the Johansen tests for cointegration by conducting a Monte Carlo experiment where 16 different data generating processes (DGP) are used and a number of factors that might affect the properties of the Johansen...