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THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION (replication data)
In this paper we offer a bootstrap-based version of the Cox specification test for non-nested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly... -
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOL...
We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model that incorporates realized measures of variances and covariances. Realized... -
Are output growth-rate distributions fat-tailed? some evidence from OECD coun...
This work explores some distributional properties of aggregate output growth-rate time series. We show that, in the majority of OECD countries, output growth-rate distributions... -
Asymmetric power distribution: Theory and applications to risk measurement (r...
Theoretical literature in finance has shown that the risk of financial time series can be well quantified by their expected shortfall, also known as the tail value-at-risk. In... -
A nonparametric measure of convergence towards purchasing power parity (repli...
It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half-lives under the assumption of a linear adjustment of real... -
Temporal aggregation of an ESTAR process: some implications for purchasing po...
Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. Most of these studies use temporally... -
Nonlinearity in the Fed's monetary policy rule (replication data)
This paper investigates the nature of nonlinearities in the monetary policy rule of the US Federal Reserve (Fed) using the flexible approach to nonlinear inference. We find that... -
Convergence in European GDP series: a multivariate common converging trend–cy...
Convergence in the gross domestic product series of five European countries is empirically identified using multivariate time series models that are based on unobserved... -
Time irreversibility and EGARCH effects in US stock index returns (replicatio...
In this paper we suggest using a modified version of the time reversibility (TR) test of Chen, Chou and Kuan (2000) as a complementary diagnostic test for time series models.... -
Tests for multiple forecast encompassing (replication data)
In the evaluation of economic forecasts, it is frequently the case that comparisons are made between a number of competing predictors. A natural question to ask in such contexts...
