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AbstractThe paper aims at developing new Bayesian Vector Error Correction – Stochastic Volatility (VEC-SV) models, which combine the VEC representation of a VAR structure with stochastic volatility, represented by either the multiplicative stochastic factor (MSF) process or the MSF-SBEKK...
AbstractThis work studies wavelet-based Whittle estimator of the fractionally integrated exponential generalized autoregressive conditional heteroscedasticity (FIEGARCH) model often used for modeling long memory in volatility of financial assets. The newly proposed estimator approximates the...
AbstractDeclining inflation persistence has been documented in numerous studies. We show that when time series with changes in persistence are analyzed in a regression framework with other persistent time series like interest rates, spurious regressions are likely to occur. We propose the...
AbstractIn this study, we propose a new method to find convergence clubs that combine pairwise method of testing convergence with maximal clique algorithm. Unlike many of those already developed in the literature, this new method aims to find convergence clubs endogenously without depending on...
Abstract:We examine the relationship between money supply growth and inflation in 3 Asian Economies which are India, Malaysia and Japan using a time-frequency approach. The application of a unified multi-scale analysis allows us to provide a continuous assessment of the link between money supply...
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