This paper re-examines the Cagan model of German hyperinflation during the 1920s under the twin hypotheses that the system contains variables that are I(2) and that a linear trend is required in the cointegrating relations. Using the recently developed I(2) cointegration analysis developed by...

This study examines the proposition that destabilizing speculation caused the overvaluation of the pound sterling in mid-1924 and the depreciation of the franc Poincare in mid-1925, by testing for the existence of long-run purchasing power parity in the 1920s for the dollar/sterling,...

In this paper we attempt to predict the direction of change of the S&P500 index over the period 8 April 1998 to 5 February 2002 by means of a recurrent neural network (RNN). We demonstrate that the incorporation in the trading rule of the Chicago Board Options Exchange (CBOE) volatility index...

This paper re-examines the Cagan model of German hyperinflation during the 1920s under the twin hypotheses that the system contains variables that are I(2) and that a linear trend is required in the cointegrating relations. Using the recently developed I(2) cointegration analysis developed by...

In this paper we analyze the implications for the identification of common stochastic trends among stock price indices of using data transformed on a ”real dollar” basis. By applying a “general” VAR model where all the relevant variables (stock indices, consumer price indices and the...

This paper re-examines the long-run properties of the monetary exchange rate model in the presence of a parallel or black market for U.S. dollars in two Latin American countries under the twin hypotheses that the system contains variables that are I(2) and that a linear trend is required in the...