Many time series exhibit unconditional heteroskedasticity, often in addition to conditional one. But such time-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root and stationarity tests possess null distributions...

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...

This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model-free option-implied volatility (MFIV) when assessing the...

This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. It is argued that the concept...

A number of recently published papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, assumed that the lag length in the unit root test regression is a deterministic function of the...

In this paper we analyse the impact of non-stationary volatility on the recently developed unit root tests which allow for a possible break in trend occurring at an unknown point in the sample, considered in Harris, Harvey, Leybourne and Taylor (2008) [HHLT]. HHLT's analysis hinges on a new...

In this article, we use as case study the Spanish economy in the Early Modern period. We use recent time series data for the period 1492 - 1810. We consider the possibility that a linear cointegrated regression model with multiple structural changes would provide a good empirical description of...