What drives the nonlinearity of time series: A frequency perspective

Petre Caraiani

Economics Letters, 2014, vol. 125, issue 1, 40-42

Abstract: It is well-known that economic and financial time series are characterized by nonlinearities. The literature does not agree, however, on the actual causes of such nonlinearities. In this paper, I investigate whether dynamics at different frequencies present different degree of nonlinearity, and how much they may influence any nonlinearity in the aggregate original series. This paper finds strong evidence in support of the idea that nonlinearities are mostly found at high frequencies.

Keywords: Nonlinear models; Nonlinearity tests; Wavelets (search for similar items in EconPapers)
JEL-codes: C22 C52 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:125:y:2014:i:1:p:40-42

DOI: 10.1016/j.econlet.2014.07.002

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