This paper analyzes market index returns in the Tehran stock exchange (TSE) within the context of three variants of the Capital Asset Pricing Model: the static international; the constant-parameter intertemporal; and a Markov-switching intertemporal CAPM, which allows for time-varying degree of...

Univariate dependencies in market volatility, both objective and risk neutral, are best described by long-memory fractionally integrated processes. Meanwhile, the ex post difference, or the variance swap payoff reflecting the reward for bearing volatility risk, displays far less persistent...

This paper proposes the Lagrange multiplier (LM) test, or the score test, for jumps in the stochastic volatility (SV) model in the cases where the innovation term follows the normal and Student t-distributions. The tested null hypothesis is that the jump density has zero variance, which is...

This paper considers testing for jumps in the exponential GARCH (EGARCH) models with Gaussian and Student-t innovations. The Wald and log likelihood ratio tests contain a nuisance parameter unidentified under the null hypothesis of no jumps, and hence are unavailable for this problem, because...

In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long daily return series. For this purpose we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta...

Purpose – Understanding correlations between stock and direct real estate returns, which is the key factor that determines diversification benefits in a portfolio, helps formulate and implement better investors' asset allocation and risk management strategies. The past studies find that direct...

In this paper we apply the Bresnahan-Lau (1982) model to test for market power in the European distribution of salmon. In this particular setting, the model also incorporates a test of whether dumping takes place over time. Utilising data at the import level, derived demand equations are...

Inflation is a far from homogeneous phenomenon, a fact often neglected in modelling consumer price inflation. This study, the first of its kind for an emerging market country, investigates gains to inflation forecast accuracy by aggregating weighted forecasts of the sub-component price indices,...

Following Doménech and Gómez (2006), and using quarterly Peruvian data for 1970:1-2007:4, I estimate a model that exploits the information contained in the inflation, unemployment and private investment rates in order to estimate non-observable variables as output gap, the NAIRU and the core...