This study searches for economic and political events that may explain the episodic nonlinearities detected in the returns series of the Chilean stock market index. This methodology is a reverse form of event study. After applying the Hinich portmanteau bicorrelation test to detect episodes of...

This letter applies the Hinich portmanteau bicorrelation test jointly with the windowed testing procedure to detect nonlinear behaviour in the rate of returns series for seven Latin American stock market indices. Our results suggest that the nonlinear serial dependencies are episodic in nature....

We examine a method recently proposed by Hinich and Patterson (mimeo, University of Texas at Austin, 1995) for testing the validity of specifying a GARCH error structure for financial time series data in the context of a set of ten daily Sterling exchange rates. The results demonstrate that...

This paper follows Lucas (2000), and Serletis and Yavari (2004) and estimates the welfare cost of inflation in Italy. It uses recent advances in the field of applied econometrics to estimate the interest elasticity of money demand in Italy and reports welfare cost estimates close to those...

This article follows Lucas (2000) and Serletis and Yavari (2005) and estimates the welfare cost of inflation in the Euro zone. It uses recent advances in the field of applied econometrics to estimate the interest elasticity of money demand and reports that the welfare cost of inflation is lower...

Tests are made for (deterministic) chaos on weekly data (from 01/13/87 to 06/02/93) for the spot-month futures exchange rate between the Australian dollar and the U.S. dollar. The Nychka, Ellner, Gallant and McCaffrey nonparametric test for positivity of the maximum Lyapunov exponent is used and...