During the second half of the 1990s, the Czech economy experienced a sharp increase in the unemployment rate. The authors attempt to determine whether this was caused by structural changes, worsening labor-market performance, or by the changing business-cycle position. This has direct...

A striking feature of sovereign lending is that many countries with moderate debt-to-income ratios systematically face higher spreads and more stringent borrowing constraints than others with far higher debt ratios. Earlier research has rationalized the phenomenon in terms of sovereign...

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...

In this paper, we study the behavior of second order pseudo-maximum likelihood estimators un- der conditional variance misspecification. We first determine sufficient and essentially necessary conditions for such an estimator to be, regardless of the conditional variance (mis)specification,...