In this article, a three-regime multivariate threshold vector error correction model with a ‘band of inaction' is formulated to examine uncovered interest rate parity (UIRP) and expectation hypothesis of the term structure (EHTS) of interest rates for Switzerland. Combining both UIRP and EHTS...

This paper aims at extracting a common factor from major carbon pricing. For this purpose, we use a Dynamic Factor Model (DFM) for which the unobserved common factors and idiosyncratic noises are potentially non-stationary processes. The two-step Kalman smoother procedure is used to estimate the...