Many time series in diverse fields have been found to exhibit long memory. This paper analyzes the behavior of some of the most used tests for long memory: the R/S or rescaled R/S, the GPH (Geweke and Porter-Hudak) and the DFA (Detrended Fluctuation Analysis). Some of these tests exhibit size...

This paper proposes Lagrange Multiplier based panel unit root tests allowing for structural breaks through simple extensions of existing group mean and combination tests. The proposed tests are more general than those previously suggested. They consider potential breaks in the intercept, in the...

Persistent regressors pose a common problem in predictive regressions. Tests of the forward rate unbiased hypothesis (FRUH) constitute a prime example. Standard regression tests that strongly reject FRUH have been questioned on the grounds of potential long-memory in the forward premium....

In this paper, I examine the properties of the class of generalized empirical likelihood estimators of moment-condition models. These nonparametric likelihood estimators satisfy exactly the moment conditions and automatically remove any bias due to a lack of centering. Moreover, the bias of the...

While stochastic volatility models improve on the option pricing error when compared to theBlack-Scholes-Merton model, mispricings remain. This paper uses mixed normalheteroskedasticity models to price options. Our model allows for significant negative skewnessand time varying higher order...

This note describes ParallelKnoppix, a bootable CD that allows econometricians with average knowledge of computers to create and begin using a high performance computing cluster for parallel computing in very little time. The computers used may be heterogeneous machines, and clusters of up to...

This paper describes and analyses the use of the Filtered Historical Simulation algorithm in pricing spread options. Spread options are contracts whose payoff depends on the price difference (spread) between two or more underlying assets at a future date. Such kind of options are written in the...