In this paper, we provide a segmentation procedure for mean-nonstationary time series. The segmentation is obtained by casting the problem into the framework of detecting structural breaks in trending regression models in which the regressors are generated by suitably smooth functions. As test...

Purpose – The purpose of this paper is to test if the empirical relationship between the size of trades and market liquidity can be pooled across different block sizes on the London Stock Exchange (LSE). Design/methodology/approach – The authors use pooling and non-pooling econometric tests...

Purpose – The purpose of this paper is to demonstrate that certain rules, implemented as a result of the Dodd-Frank Act (DFA) of 2010, should be harmonized between economically equivalent products in swap and futures markets to prevent regulatory arbitrage. Design/methodology/approach – The...

It is well known that the discrete Fourier transforms (DFTs) of a second order stationary time series between two distinct Fourier frequencies are asymptotically uncorrelated. In contrast for a large class of second order nonstationary time series, including locally stationary time series, this...

In this paper we test for the existence of a long-run relationship between investment and savings (the Feldstein–Horioka puzzle) in a panel of 18 OECD countries, 1970–2007, allowing for heterogenous breaks in the coefficients. For this purpose we develop a bootstrap panel cointegration with...

In this paper we test for the existence of a stable long-run savings–investments relationship in 18 OECD economies over the period 1970–2007. Although individual modelling provides only very weak support to the hypothesis of a link between savings and investments, this cannot be ruled out as...

This paper studies the behavior of recently proposed bootstrap tests for the null hypothesis of stationarity when the data are generated under the alternative hypothesis of a unit root. Using Monte Carlo experiments and empirical examples, it is shown that the power of these tests critically...