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Modelling non-linear comovements between time series

  • Kyrtsou, Catherine
  • Vorlow, Costas

The main objective of this paper is to employ a new dynamic model that combines the bivariate noisy Mackey-Glass recently proposed by Kyrtsou and Labys [Kyrtsou, C., Labys, W., 2006. Evidence for chaotic dependence between US inflation and commodity prices. Journal of Macroeconomics 28(1), 256-266; Kyrtsou, C., Labys, W., 2007. Detecting positive feedback in multivariate time series: the case of metal prices and US inflation. Physica A 377(1), 227-229.] 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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Article provided by Elsevier in its journal Journal of Macroeconomics.

Volume (Year): 31 (2009)
Issue (Month): 1 (March)
Pages: 200-211

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Handle: RePEc:eee:jmacro:v:31:y:2009:i:1:p:200-211
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  8. Jean-Luc Demeulemeester & Claude Diebolt, 2007. "How much could economics gain from history: the contribution of cliometrics," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 1(1), pages 7-17, April.
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