Markov models introduce persistence in the mixture distribution. In time series analysis, the mixture components relate to different persistent states characterizing the state-specific time series process. Model specification is discussed in a general form. Emphasis is put on the functional form...

This paper examines the proposition that capital stock relative to aggregate output has been an important variable in the determination of the Non-Accelerating Inflation Rate of Unemployment (NAIRU) over the last four decades. The authors present new empirical evidence that lends strong support...

In this paper, we identify demand shocks that can have a permanent effect on output through hysteresis effects. We call these shocks permanent demand shocks. They are found to be quantitatively important in the United States, in particular when the sample includes the Great Recession. Recessions...

This paper examines the determinants of the wage level and the relation between the wage level and unemployment in Sweden between 1982 and 2002, using a cointegrated VAR approach. The long-run relation between wages and unemployment is found to be negative. There is also evidence of large...

In this paper we extend the standard Blanchard-Quah decomposition to enable fluctuations in aggregate demand to have a long-run impact on the productive capacity of the economy through hysteresis effects. These demand shocks are found to be quantitatively important in the US, in particular if...

Despite its stability over time, as for any statistical relationship, Okun's law is subject to deviations that can be large at times. In this paper, we provide a mapping between residuals in Okun's regressions and structural shocks identified using a SVAR model by inspecting how unemployment...

This paper investigates the nature of the output-employment relationship by using the Turkish quarterly data for the period from 1988 to 2008. Even if we fail to find a long-run relationship between aggregate output and total employment, there are long-run relationships for the aggregate output...

Empirical and theoretical studies suggest that employment behaviour varies with the state of the labour market since hiring and firings costs depend on the availability of labour. Extending earlier empirical work on this subject, we test for state dependence in employment adjustment and in the...

The first four conditional moments of the integrated variance implied by the GARCH diffusion process are derived analytically. Based on these moments and on a power series method an analytical approximation formula to price European options under the GARCH diffusion model is obtained. Monte...

We aim to compare financial technical analysis techniques to strategies which depend on a mathematical model. In this paper, we consider the moving average indicator and an investor using a risky asset whose instantaneous rate of return changes at an unknown random time. We construct...