This study proposes a new approach to estimation of the time series properties of daily volatility in financial markets.

This paper considers the construction of model selection procedures based on choosing the model with the largest maximised log-likelihood mimus a penalty, when key parameters are restricted to be in a closed interval. The approach adopted is based on King et al.'s (1995) representative models...

In this paper we construct a test for the difference parameter d in the fractionally integrated autoregressive moving-average (ARFIMA) model. Obtaining estimates by smoothed spectral regression estimation method, we use the moving blocks bootstrap method to construct the test for d. The results...

In this paper we make a first attempt to explore the relationship between computer use and productivity in French manufacturing and services industries.

While there is good reason to expect crude oil production to be non-linear, previous studies that have examined the stochastic properties of crude oil production have assumed that crude oil production follows a linear process. If crude oil production is a non-linear process, conventional unit...