This study investigates the asymmetric and time-varying causalities between inflation and inflation uncertainty in South Africa within a conditional Gaussian Markov switching vector autoregressive (MS-VAR) model framework. ...

In this paper, we extend the existing literature on current account sustainability by examining the relevance of long memory and structural breaks in modelling the dynamics of current account to gross domestic product (GDP) ...

We investigate financial market efficiency in the time series of four daily Baltic stock market indices, namely: Baltic Benchmark Gross Index (OMXBBGI), all share index of Tallin-Lithuanian (OMXT), all share index of Riga ...

Appropriate modelling of the process of volatility has implications for portfolio selection, the pricing of derivative securities and risk management. Further, a large body of research has suggested that both long memory ...

This paper analyses the statistical properties of five major precious metal prices (gold, silver, rhodium, palladium and platinum) based on a fractional integration modelling framework while identifying structural breaks. ...

This study examines inflation over one century of data for 29 countries based on fractional integration incorporating nonlinearities to account for structural breaks and asymmetry in the process of inflation. The results ...

The degree of persistence of the real gross domestic product per capita, total factor productivity and labour productivity has been examined in a group of 23 developed and developing nations, as well as the overall Euro ...

Bonds have become an important part of investment portfolios for individuals as well as for institutions, particularly after the recent financial crisis. This paper empirically investigates the Adaptive Market Hypothesis ...

This paper examines volatility linkages and forecasting for stock and foreign exchange markets from a novel perspective by utilizing a bivariate Markov‐switching multifractal model that accounts for possible interactions ...