It is well-known that economic and financial time series are characterized by nonlinearities. The literature does not agree, however, on the actual causes of such nonlinearities. In this paper, I investigate whether dynamics at different frequencies present different degree of nonlinearity, and...

We reassess the relationship between money and output using quarterly data from the US economy. We use several tools based on wavelets, the wavelet power transform and the wavelet coherence with which we analyze this relationship in both time and frequency. We find evidence of a weaker...

We investigate the existence of nonlinearities in the dynamics of the returns of stock markets indices from CEE economies. We use several types of nonlinear tests. We discuss the implications of the results with respect to the efficient market hypothesis.

Recently, a new test for nonlinearity and chaos was proposed, the noise titration technique. I discuss in this paper its relevance for the case of economic time series. I apply the test on two relevant datasets for which previous assessments exist, both simulated and real data. Compared to other...