This letter tests for the presence of non-linearities in UK and US industrial and sectoral production growth rates using a joint model of bilinearity inconditional mean and generalized-autoregressive-conditional heteroscedasticity, the latter augmented by lagged production growth rates so as to...

This paper investigates the differences between negotiated and arbitrated settlements in the footballers transfer market utilizing a data set containing FLAC decisions covering the period 1978-9 to 1991-2. Our analysis suggests that arbitrated settlements deflate transfer fees compared with...

The literature on testing for the presence of cyclical asymmetry in consumers' expenditure is extended via the application of tests for time deformation to UK data subject to a high degree of disaggregation. The initial empirical findings provide evidence of significant time deformation in...

This letter applies tests for asymmetric 'deepness' and 'steepness' to the monthly industrial production indices of 16 OECD economics and the OECD aggregate. We report evidence of statistically significant deepness for Germany, and both deepness and steepness for Japan, Sweden and, more...

This letter reappraises some recently reported tests for asymmetries in UK consumers' expenditure relative to trend. In particular, we consider the disaggregation of consumers' expenditure into broad categories of durable and non-durable goods and services, and according to 13 specific...

This letter reports details of tests for the presence of conditional variance asymmetries in the growth rates of monthly international industrial production series using exponential-GARCH and threshold-GARCH generalizations. We find evidence of asymmetries of EGARCH form for US industrial...

This paper examines the time series properties of the monthly black-market dollar exchange rates of the Bulgarian lev, Czech koruna, East German mark, Hungarian forint, Polish zloty, Rumanian lei and Soviet ruble over the period 1955-1990. All series other than the mark exhibit a unit root in...

The purpose is to document the significance of non-linearity in the conditional mean and variance of the long-run annual UK GDP growth rate. In particular, an examination is made of asymmetry in conditional variance with respect to past shocks which implies that the conditional variance is...

This paper tests for the presence of nonlinear dependence in the black-market Polish zloty-dollar exchange rate. Using the GARCH-M model, we illustrate use of the Marquardt (Journal of the Society of Industrial and Applied Mathematics, 2, 1963) alternative to the Berndt (Annals of Economical...

This paper reconsiders the time-series properties of inter-war pound-franc and pound-dollar exchange rate returns in the context of a smooth transition variant of the threshold autoregressive model. It is found that autoregressive structure in returns is largely confined to values in proximity...