The purpose of the paper is twofold. First, it aims at identifying when UK and European (France, Germany, Italy and Spain) Credit Default Swaps(CDSs) exhibit explosivity with respect to their past behaviors. Second, it seeks to quantify the dynamics of CDS volatility spillover effects...

In this paper, we study the asymptotic behavior of specification tests in conditional moment restriction models under first-order local identification failure with dependent data. More specifically, we obtain conditions under which the conventional specification test for conditional moment...

We provide a comprehensive treatment for the problem of testing jointly for structural changes in both the regression coefficients and the variance of the errors in a single equation system involving stationary regressors. Our framework is quite general in that we allow for general mixing‐type...

This paper examines tourism persistence in a group of Southeastern European (SEE) countries (Albania, Bosnia, Bulgaria, Croatia, Montenegro, North Macedonia, Serbia and Slovenia) by applying fractional integration methods to monthly data on foreign tourist arrivals and overnight stays. The...

For typical sample sizes occurring in economic and financial applications, the squared bias of estimators for the memory parameter is small relative to the variance. Smoothing is therefore a suitable way to improve the performance in terms of the mean squared error. However, in an analysis of...

This paper analyzes the evolution of the Lebanese GDP growth rate over the period 1970- 2019 by estimating two kinds of switching models: The Smooth Transition Autoregressive (STAR) model and the model of the Markov process. These models show, on the one hand, asymmetries in the evolution of GDP...

Historically, oil has been the main source of earnings in the Saudi Arabian economy. Different from other symmetric oil price shock studies, the aim of this paper is to test the impacts of symmetric oil price shocks on government expenditure-real exchange rate nexus and ultimately, to check the...

This study examines the link between stocks and decentralized finance (DeFi) in terms of returns and volatility. Major G7 exchange-traded funds (ETFs) and various highly traded DeFi assets are considered to ensure the robustness of the empirical experiment. Specifically, this study applies the...

Affine mortality models are well suited for theoretical and practical application in pricing and risk management of mortality risk. They produce consistent, closed-form stochastic survival curves allowing for the efficient valuation of mortality-linked claims. We model USA age-cohort mortality...

A new first-order integer-valued autoregressive process (INAR(1)) with extended Poisson innovations is introduced based on a signed version of the thinning operator, called relative binomial thinning operator, which can be considered as an extension of standard binomial thinning operator...