The aim of our study is to spell out and analyse the possibilities of data access, focusing on data that are used as an input of scientific research. We give a brief overview of the current legal background in Hungary. Based on normative economic analysis, we outline the main features of an...

The aim of our study is to spell out and analyse the possibilities of data access, focusing on data that are used as an input of scientific research. We give a brief overview of the current legal background in Hungary. Based on normative economic analysis, we outline the main features of an...

This paper evaluates the forecasting performance of a continuous stochastic volatility model with two factors of volatility (SV2F) and compares it to those of GARCH and ARFIMA models. The empirical results show that the volatility forecasting ability of the SV2F model is better than that of the...

The paper provides a review of basic elements of asymptotic theory. Topics include modes of convergence, laws of large numbers and central limit theorems.

Separating seasonal components from other sources of economic fluctuations is crucial for both economic modeling and policy making. Practitioners treat seasonality as noise to be removed before estimating models and tend to apply deseasonalizing methods i

Numerous empirical studies have shown evidence of nonlinearities in financial time series, which can be of both a deterministic and a stochastic nature. Chaos is an example of the former, and heteroscedasticity in the conditional variance an example of the latter. We apply a test, the BDS test,...

A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run variance (LRV) estimation and robust regression testing. The kernels are constructed by taking powers of the Bartlett kernel and are intended to be used with no truncation (or...

The paper analyzes Croatia's income convergence over the period from 2000 to 2024 with respect to four groups of countries: the EU15, NMS8, NMS12, and SE4. Using time series methodology and fractional integration, the study examines Croatia's affiliation with different convergence clubs within...

We develop Bayesian methods of analysis for a new class of Threshold Autoregressive models: Endogenous Delay Threshold. We apply our methods to the commonly used sunspot data data set and find strong evidence in favor of the EDTAR model over linear and tranditional threshold autoregressions.