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A linear null relationship between nominal returns and inflation is tested against threshold alternatives using quarterly and monthly data for 39 different countries. These threshold alternatives and the linear nulls are then estimated to unover the nature of linear and threshold relationships...
Persistent link: https://www.econbiz.de/10008552900
Long memory in the volatility of individual return series and in the volatility of equal-weighted portfolios constituted by the individual return series is analyzed to see if the memory characteristic of the volatility representation is correlated with the portfolio characteristics of size,...
Persistent link: https://www.econbiz.de/10008552903
Monte Carlo simulation methods are used to generate independent series with short memory in volatility. Partial sums of there short memory series are formed and the volatilities of these partial sums are tested for long memory. Aggregating series with short memory valatilities results in indices...
Persistent link: https://www.econbiz.de/10008552933
This paper tests for and estimates non-dynamic panel threshold relationships among inflation, financial market development and growth, where the relationship changes once a threshold level of inflation is reached. Robust statistical support of a single threshold value of inflation (about 14%) is...
Persistent link: https://www.econbiz.de/10008462869
This paper presents a selective survey of volatility topics, with emphasis on the measurement of volatility and a discussion of some of the most important time series models commonly employed in its modelling. In particular, the paper details the long memory characteristics of volatility, and...
Persistent link: https://www.econbiz.de/10008462875