Low-frequency financial returns can be modelled as centered around piecewise-constant trend functions which change at certain points in time. We propose a new stochastic time series framework which captures this feature. The main ingredient of our model is a hierarchically-ordered oscillatory...

In this paper, we attempt to show the validity and limits of univariate time series modeling applied to annual production of sugar in Mauritius form 1879 to 1987. We analyse the series through the main components of long-term growth and stationary dynamics of short-term coupled with the impact...

A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and β-mixing solution is established under a mild assumption on the density of the underlying independent process. We give sufficient conditions for the existence of moments. The analysis...

This paper uses the cross-sectional variance of the betas from the CAPM model to study herd behavior towards market index in Romania. For time-varying beta determination, three different modeling techniques are employed: two bivariate GARCH models (DCC and FIDCC GARCH), two Kalman filter based...

The paper aims to estimate the impact of calendar effects in volatility of the preferred and ordinary shares of Vale. The data researched were the stocks prices Vale between January 2, 1995 and October 26, 2011. The Stochastic Volatility Model was the Model and the Structural Model was the...

The concept of NAIRU summarized the observed negative correlation between the unemployment rate and the inflation rate for a number of countries. This correlation persuaded some analysts of the impossibility for governments to simultaneously target both low unemployment and price stability....

The study develops a parsimonious representation of the macro economy of Bangladesh. It aims to serve a dual purpose. First, it provides a framework for making rational and consistent predictions about Bangladesh's overall economic activity, the standard components of the balance of payments,...

This paper proposes a new testing procedure for the degree of fractional integration of a time series inspired on the unit root test of Dickey-Fuller (1979). The composite null hypothesis is that of d=d0 against d<d0. The test statistics is the same as in Dickey-Fuller test, exploiting the fact that if the process, under study, is I(d0) then the (-1+d0)th differenced series is I(1) under the null d=d0. If d>=d0, using the generalization of Sowell's results (1990), we propose a test based...</d0.>

Classical univariate and multivariate time series models have problems to deal with the high variability of hourly electricity spot prices. We propose to model alternatively the daily mean electricity supply functions using a dynamic factor model. And to derive, subsequently, the hourly...

Applying ARDL Cointegration, Johansen modelling and generalised impulse response function analyses in this paper, we provide new evidence for the Turkish Bilateral J-curve hypothesis in the short and long-run using both annual aggregated and disaggregated data over 1960 and 2000 period between...