This paper analyzes the long-run relationship between gold and silver prices. The three main questions addressed are: the influence of a large bubble from 1979:9 to 1980:3 on the cointegration relationship, the extent to which by including error correction terms in a nonlinear way we can beat...

Variations in overall liquidity can be measured by simultaneous changes in both immediacy costs and depth. Liquidity changes, however, are ambiguous whenever both liquidity dimensions do not reinforce each other. In this paper, we characterize ambiguity using an instantaneous time-varying...

Outliers and nonlinearity may easily be mistaken. This paper uses Monte Carlo methods to examine and compare the behavior of two competing specification procedures for Smooth Transition AutoRegressive [STAR] models under various different circumstances (linear and nonlinear data generating...

This paper is devoted to presenting wider characterizations of memory and cointegration in time series, in terms of information-theoretic statistics such as the entropy and the mutual information between pairs of variables. We suggest a nonparametric and nonlinear methodology for data analysis...