The reliance on market and sector-specific indexes to evaluate managed portfolios and the popularity of index investing has increased the importance of understanding what leads to market movements, how long they may last, and how different sectors respond to macroeconomic shocks. This research...

This paper examines the Fisher hypothesis for a sample of less developed countries. Recognizing the possibility of spurious regression results, tests of the Fisher hypothesis are undertaken utilizing the Johansen-Juselius cointegration procedure. Of the nine countries studied, only Malaysia,...

This paper examines the time series properties of state and national unemployment rates. Based upon unit root, variance ratio, and cointegration tests, as well as Granger-causality and error-correction model results, several important conclusions can be made. First, forecasting models that...

It is well known that volatility persistence is overestimated if regime shifts are not accounted for in the standard GARCH model. This research detects time periods of sudden changes in variance using the iterated cumulated sums of squares (ICSS) algorithm. Using weekly data for the Canadian...

This research examined the impact of the 3 May 1999 tornado on the Oklahoma City labour market. We estimated time series models that allow for time-varying variance in employment growth. The models include intervention variables designed to capture the tornado's effect at initial impact as well...

This article explores the role of trading volume in making out-of-sample forecasts of stock market volatility around the time of the 24 October 1929 crash. Following the recent literature on volatility forecasting, we compare the performance of symmetric and asymmetric GARCH-class models....

Most studies that have examined the relationship between the housing market and the macroeconomy have focused on how changes in housing supply affect real activity and the like. In this paper, the possibility that housing starts respond to sudden changes or shocks to macroeconomic factors is...

This research is concerned with identifying the differing responses of union and nonunion wages to shocks to real output growth, inflation, and the stance of monetary policy. Aggregate measures of union and nonunion wages and salaries are used to construct a time series of the wage differential...

This research documents the time series behavior of unemployment rates for Hispanics and whites over the period of 1976-2008. In particular, we provide insight as to how Hispanics fared relative to whites by examining the unemployment rate, the unemployment rate gap, and the cyclical component...