We examine whether real or spurious long memory characteristics of volatility are present in stock market data. We empirically distinguish between true and spurious long memory characteristics by analysing different types and measurements of volatility, utilising different sampling frequencies...

Time series analysis for the Euro Area requires the availability of sufficiently long historical data series, but the appropriate construction methodology has received little attention. The benchmark dataset, developed by the European Central Bank for use in its Area Wide Model (AWM), is based...

Good economic management depends on understanding shocks from monetary policy, fiscal policy and other sources affecting the economy and their subsequent interactions. This paper presents a new methodology to disentangle such shocks in a structural VAR framework. The method combines...