This paper first reduces the problem of detecting structural breaks in a random walk to that of finding the best subset of explanatory variables in a regression model and then tailors various subset selection criteria to this specific problem. Of particular interest are those new criteria, which...

Based on a reparametrization of the Gaussian density and a natural prior for the parameters, a Bayesian model selection criterion is derived, which differs from Schwarz' (1978) criterion by a term which does not vanish as the sample size increases.

This paper proposes a modification of an optimal test for cycles in multiple time series and applies it to test the hypothesis that there is a relationship between stock returns and the phases of the moon. No significant relationship is found, which is in line with the evidence from descriptive...

New methods to forecast volatility are usually compared to simple methods like weighted moving averages or GARCH (1, 1) models. In this paper, we provide new benchmark methods which are more accurate but still very simple. In an empirical study of daily returns on major world indices, our new...