This paper applies a nonparametric approach to assess whether a data set comprising nineteen consumption goods, four liquid assets, and leisure is consistent with the utility maximization model; and whether there are any weakly separable groupings amongst these goods. The study also addresses...

The two period intertemporal model of consumption is extended here to provide some insights into the impact of credit constraints, changes in interest rates and income, and housing equity withdrawal on the intertemporal pattern of consumption. In analyzing the effects of such changes, the author...

This paper reports a substantive application of Engle and Yoo's three-step estimator for cointegrated systems. Their estimator was proposed as a computationally convenient alternative to a number of FIML systems estimators. In part this estimator was developed to overcome some drawbacks of the...

The author emphasizes here a number of factors that have not previously been highlighted in an explanation of consumers' expenditure on nondurables and services. The author shows that the liberalization of financial and housing markets in the United Kingdom in the 1980s involved an increase in...

The constant price components of the expenditure estimate of GDP for the United Kingdom undergo an extensive process of revision as new information comes to light. This study is concerned with three central themes: the authors assess whether the preliminary vintages efficiently incorporate...

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation(DCC) model proposed by Engle (2002), and suggests the use of devolatized returnscomputed as returns standardized by realized volatilities rather than by GARCH type volatilityestimates. The t-DCC...

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...