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Asymmetry, Persistence and Volatility in Economic Variables


The research group Persistency, Asymmetries and Volatility includes econometricians and Macroeconomists from Economics Department interested in the study of the three more important characteristics of the economic series: Persistency (long memory), Asymmetries (non-linearity) and Volatility (risk). Their aim is the construction of econometric models capable of gathering these three characteristics, in order to analyze causal relations among economic variables. As a whole, the Econometrics Group of the Economics Department at Universidad Carlos III de Madrid is considered one of the worldwide best research team in the field.

Research Topics

  • General: Econometric Theory of Time Series, Financial Econometrics and Applied Macroeconomics.
  • More Specifics: Persistency (dependence, long memory, co-integration), Non-linearity (Asymetries), Risk (Volatility), Economic Models with Thresholds, Economies with Search Frictions (a theoretical and quantitative macroeconomic analysis of the labor market), Causality and Prediction, etc.


At present the group members are working among other topics on:

Econometrics for a Threshold Economy, Identification of Shocks, Downside Risk, Price Discovery, PPP, Predictive Regressions, Labor Markets, Monetary Policy, Dynamic models for discrete data, Financial Ratios, Permanent and Transitory Components of Financial Variables, Testing of Expectation Hypothesis in Financial Markets, Quantile Models for Time Series, Global Warming Testing, etc.