Modelling non-linear comovements between time series

Catherine Kyrtsou and Costas Vorlow

No 2008_01, Department of Economics Working Papers from Durham University, Department of Economics

Abstract: 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. Evi- dence for chaotic dependence between US inflation and commodity prices. Journal of Macroeco- nomics 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.

Keywords: BEKK Garch and Mackey–Glass processes; Structural changes; Comovements; Interest rates; Non-linear dynamics (search for similar items in EconPapers)
JEL-codes: C22 C32 E43 E59 (search for similar items in EconPapers)
Date: 2008-01-01
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Citations: View citations in EconPapers (1)

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