After the so-called Asia crisis in the summer of 1997 the stock markets were shaken by an increased volatility transmission phenomenon around the world. In this paper we will therefore analyse the daily stock returns in New York, Germany and Japan for a period of 2 years (June 21st, 1996 to June...

In this article a VAR-GARCH-M model for aggregate employment and employment shares is developed in order to explore the macroeconomic effects of sectoral shocks. Using US, UK and German quarterly data sets, the model is estimated and tested against alternative specifications. Three main issues...

Abstract We use a spatial econometric extension of the traditional regression-based gravity model to model commodity flows, focusing on a formal methodology for incorporating information regarding the highway network into the spatial connectivity structure of the spatial autoregressive...

Panel models are popular models in applied sciences and the question of spatial errors has recently created the demand for spatial system estimation of panel models. In this paper we propose new diagnostic methods to explore if and how the spatial components will make significant differences of...

The extended Hodrick-Prescott (HP) method was developed by Polasek (2011) for a class of data smoother based on second order smoothness. This paper develops a new extended HP smoothing model that can be applied for spatial smoothing problems. In Bayesian smoothing we need a linear regression...

System of panel models are popular models in applied sciences and the question of spatial errors has created the recent demand for spatial system estimation of panel models. Therefore we propose new diagnostic methods to explore if the spatial component will change significantly the outcome of...

Growth rate data that are collected incompletely in cross-sections is a quite frequent problem. Chow and Lin (1971) have developed a method for predicting unobserved disaggregated time series and we propose an extension of the procedure for completing cross-sectional growth rates similar to the...

The Hodrick-Prescott (HP) method is a popular smoothing method for economic time series to get a smooth or long-term component of stationary series like growth rates. We show that the HP smoother can be viewed as a Bayesian linear model with a strong prior using differencing matrices for the...