This paper empirically examines the degree of persistence in four precious metal prices (i.e., gold, palladium, platinum, and silver) during the last four U.S. recessions. Unit root tests and fractional integration techniques suggest that gold still is the most prominent safe haven asset within...

Tests proposed by Robinson (1994a) for testing unit roots and other fractionally integrated hypotheses are applied in this article to several measures of the U.K. unemployment. The results clearly reject the trend-stationary I(0) representations, but even the unit roots I(1) hypotheses are also...

Previous research has found that the response of hours worked to a technology shock crucially depends on whether the variable hours is assumed to be an I(0) or an I(1) variable ex-ante. In this paper we employ a multivariate fractionally integrated model which allows us to determine...

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41...