We use the BDS statistic to test for unmodelled structure in the linearly filtered industrial production figures for Canada, France, Japan and the USA between 1919 and 1930. The i.i.d. null is rejected for France and Japan though there is other evidence for nonlinearity in the remaining series....

This paper examines evidence for interactions between arms spending by NATO and the Warsaw Pact. Empirical work in this area typically starts from some version of the Richardson model. Unfortunately an important characteristic of the data series (non-stationarity) means that results based upon...

Granger and Terasvirta provided an abstract example of a non-linear model that can generate data with the misleading linear property of long memory. They suggested that other non-linear models with this property are worth searching for. The empirical results of this article indicate that data...

This study addresses the issue of volatility persistence in asset markets by analysing the behaviour of daily ratios of highest and lowest prices for a number of different assets both inter-war and post-war. These series include sterling exchange rates, S&P futures prices, the FT30 and the price...

We investigate the properties of floating exchange rates in the inter-war period by estimating a bilinear quadratic ARCH model that allows for non-linearity in both mean and variance. Our analysis suggests that, with one exception, spot rates exhibited non-linearity in either of, or both, mean...

Evidence of volatility spillovers between four foreign exchange rates is examined in the interwar floating exchange rate period using daily high and low prices rather than closing prices. It is found that volatility is highly persistent and that spillovers occur.

This article extends the results of Byers et al. (1997) on long memory in support for the Conservative and Labour Parties in the UK using longer samples and additional poll series. It finds continuing support for the ARFIMA(0, d, 0) model, though with somewhat smaller values of the long memory...