The purpose of this study is to examine whether we can identify a Phillips curve fit for the Kingdom of Eswatini as a low middle income Sub-Saharan Africa monarchy using data collected between 1991 and 2016. In our approach we rely on the recently introduced nonlinear autoregressive distributive...

Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically...

In this article a multiple regime extension for the Heston-Nandi GARCH(1,1) model is presented to describe the asymmetries and intermittent dynamics in financial volatility. The statistical properties and the estimation of their parameters are addressed in detail. The number of regimes in the...

This paper started from moving average method. After finding that the physical meaning of moving average is somehow not clear, this paper modified the moving average and proposed a new model called volume weighted moving average (VWMA).The VWMA model has been applied to mainland China's stock...

Goal of this paper is to analyze and forecast realized volatility through nonlinear and highly persistent dynamics. In particular, we propose a model that simultaneously captures long memory and nonlinearities in which level and persistence shift through a Markov switching dynamics.We consider...