This paper investigates the transmission of price and volatility spillovers across the New York, London, Frankfurt and Paris stock markets under the framework of the multivariate EGARCH model. The model is extended to allow dynamic conditional correlations, with the correlations allowed to change with the introduction of the Euro. By using daily closing prices recorded at 16:00 London time (pse...

We develop a general approach to robust inference about a scalar parameter when the data is potentially heterogeneous and correlated in a largely unknown way. The key ingredient is the following result of Bakirov and Székely (2005) concerning the small sample properties of the standard t−test: For a significance level of 5% or lower, the t−test remains conservative for underlying observations t...

Recent time series methods are applied to the problem of forecasting New Zealand’s real GDP. Model selection is conducted within autoregressive (AR) and vector autoregressive (VAR) classes, allowing for evolution in the form of the models over time. The selections are performed using the Schwarz (1978) BIC and the Phillips-Ploberger (1996) PIC criteria. The forecasts generated by the data-deter...

We propose a way to test the New Keynesian Phillips Curve (NKPC) without estimating the structural parameters governing the curve, i.e. price stickiness and firms’ backwardness. Using this strategy we can test the NKPC avoiding the identification problems related to the GMM approach. We find that it does not exist a combination of the structural parameters which is consistent with US data. This...

This paper investigates the determinants of private investment in Senegal over the period of 1970-2000. It first tests the variables for unit root using two, relatively, new tests namely the Dickey-Fuller generalised least square de-trending test proposed by Elliot et al. (1996) and the Ng-Perron test following Ng and Perron (2001). The long run private investment equation is derived using the ...

This paper provides a unifying framework in which the coexistence of different form of common cyclical features can be tested and imposed to a cointegrated VAR model. This goal is reached by introducing a new notion of common cyclical features, namely the weak form of polynomial serial correlation common features, which encompasses most of the previous ones. Statistical inference is obtained by...

This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of the markets in time to form different econometric models. In this way it is possible to detect causality not only from the US to foreign countries but in some cases vice versa. The obser...

A continuous time econometric modelling framework for multivariate financial market event (or ‘transactions’) data is developed in which the model is specified via the vector conditional intensity. Generalised Hawkes models are introduced that incorporate inhibitory events and dependence between trading days. Novel omnibus specification tests based on a multivariate random time change theorem a...

In this paper we develop a canonical state space representation for rational stochastic processes containing unit roots with integer integration orders at arbitrary points on the unit circle. It is shown that the state space framework, which is – in a certain sense made precise in the paper – equivalent to the ARMA framework, is very suitable for the analysis of unit roots and cointegration iss...

This article investigates the issue of international portfolio diversification with respect to the three largest financial markets in the world—namely the US, Japan and the UK. In addition to making use of traditional portfolio analysis, we also suggest a procedure to calculate bootstrap correlation coefficients that can take into account the dynamic structure between the markets as measured by...