Much of the inflation forecasting literature examines the ability of macroeconomic indicators to accurately predict mean inflation. For the period after 1984, existing empirical evidence largely suggests that the likelihood of accurately predicting inflation using macroeconomic indicators is no better than a random walk model. We expand the scope of inflation predictability by exploring whether...

This paper introduces a conditional extreme value volatility estimator (EVT) based on highfrequency returns. The relative performance of the EVT is compared with the discrete-time GARCH and implied volatility models for 1-day and 20-day-ahead forecasts of realized volatility. This is also a first attempt towards detecting any time-series variation in extreme value distributions using high-frequ...

We assess the progress made by the profession in understanding real exchange rate behavior through a selective and critical, but nonetheless expository, review of the literature. Our reading of the literature leads us to the main conclusions that purchasing power parity might be viewed as a valid long-run international parity condition when applied to bilateral exchange rates obtaining among ma...

This paper applies the recently developed econometric methods of panel unit root tests and non-linear mean-reversion to investigate price convergence in China --the largest transitional economy in the world. We find that prices did converge to the law of one price in China for an overwhelming majority of goods and services based on a large panel dataset. The finding sheds light on the extent of...

The standard linear technique of impulse response function analysis is extended to the nonlinear case by de"ning a generalized impulse response function. Measures of persistence and asymmetry in response are constructed for a wide class of time series. ( 2000 Elsevier Science B.V. All rights reserved. JEL classixcation: C22; C51; C52; E32

This paper provides a theoretical functional representation of the density function related to the DickeyFuller random variable. The approach is extended to cover the multivariate case in two special frameworks: the independence and the perfect correlation of the series. key words: Dickey-Fuller distribution, unit root JEL codes: C12, C16, C22

We find that augmenting a regression of excess bond returns on the term structure of forward rates with a rolling estimate of the mean realized jump size—identified from high-frequency bond returns using the bi-power variation technique—substantially increases the R2 of the regression. This result is consistent with the setting of an unspanned risk factor in which the conditional distribution o...

Formation of nano/ultrafine grain structure in AISI 304L austenitic stainless steel through the martensite reversion treatment was studied. The solution annealed specimens were cold rolled up to 95 % thickness reduction at -15°C. The cold-rolled specimens were subjected to reversion annealing treatment at the temperature range of 700-1000 °C for 10–150 min. Microstructural evolutions were analy...

In this paper, we present a new method for modeling timeevolving correlation networks, using a Mean Reversion Autoregressive Model, and apply this to stock market data. The work is motivated by the assumption that the price and return of a stock eventually regresses back towards their mean or average. This allows us to model the stock correlation time-series as an autoregressive process with a ...

JEL Classification Code(s): J 31, J 71) "Perceptions of Discrimination, Effort to Obtain Psychological Balance, and Relative Wages: Can We Infer a Happiness Gradient?" There is a substantial literature that finds a linkage between happiness and relative economic well being as measured by earnings or wages. There is also a well documented racial gap in wages. One explanation for this is disparat...