Modelling non-linear comovements between time series
AbstractThe main objective of this paper is to employ a new dynamic model that combines the bivariate noisy Mackeyâ€“Glass recently proposed by Kyrtsou and Labys [Kyrtsou, C., Labys, W., 2006. Evi- dence for chaotic dependence between US inflation and commodity prices. Journal of Macroeco- nomics 28(1), 256â€“266; Kyrtsou, C., Labys, W., 2007. Detecting positive feedback in multivariate time series: the case of metal prices and US inflation. Physica A 377(1), 227â€“229.] and the BEKK Garch processes. An empirical exercise using the US effective Federal fund rates and 3-month T-Bill rates will show that for specific time periods the comovements between series are due to inherent non-linear deterministic dynamics.
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Bibliographic InfoPaper provided by Durham University Business School in its series Working Papers with number 2008_01.
Date of creation: 01 Jan 2008
Date of revision:
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Postal: Durham University Business School, Mill Hill Lane, Durham DH1 3LB, England
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BEKK Garch and Mackeyâ€“Glass processes; Structural changes; Comovements; Interest rates; Non-linear dynamics;
Other versions of this item:
- Kyrtsou, Catherine & Vorlow, Costas, 2009. "Modelling non-linear comovements between time series," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 200-211, March.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E59 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Other
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