We address the estimation of stochastic volatility demand systems. In particular, we relax the homoscedasticity assumption and instead assume that the covariance matrix of the errors of demand systems is time-varying. Since most economic and fiÂ…nancial time series are nonlinear, we achieve...

This paper extends the work in Serletis (1992) by re-examining the empirical evidence for random walk type behavior in energy futures prices. It tests for fractional integrating dynamics in energy futures markets utilizing more recent data (from January 3, 1994 to June 30, 2005) and a new...

The theories of investment under uncertainty and real options predict that uncertainty about, for example, oil prices will tend to depress current investment. We reinvestigate the relationship between the price of oil and investment, focusing on the role of uncertainty about oil prices. We find...

In this paper we test for deterministic chaos in seven East European black market exchange rates, using Koedjik and Kool's (1992) monthly data from January 1955 through May 1990.

This paper considers a nonborrowed monetary base VAR and a target and instrument framework favored by the monetarists to resolve the puzzle thrownup by monetary VAR studies.