This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, and then employ...

The global linear trend with autocorrelated disturbances is a surprising omission from the M1 competition. This approach to forecasting is therefore evaluated using the 51 non-seasonal series from the competition. It is contrasted with a fully optimized version of Holts trend corrected...

In this paper we propose a test statistic to compare two or more stationary time series that are not necessarily independent. The test is based on the difference between estimated parameters of the autoregressive models that are fitted to the series.

Time series often have patterns that form a basis for comparing them or classifying them into groups. In this paper we present procedures to compare and classify stationary multivariate time series. Simulations studies show that the procedures perform fairly well for reasonably long series.

The concept of fractional cointegration, whereby deviations from an equilibrium relationship follow a fractionally integrated process, has attracted some attention of late. The extended concept allows cointegration to be associated with mean reversion in the error, rather than requiring the more...

A parsimonious method of exponential smoothing is introduced for time series generated from a combination of local trends and local seasonal effects. It is compared with the additive version of the Holt-Winters method of forecasting on a standard collection of real time series.

We study methods for constructing confidence intervals, and confidence bands, for estimators of receiver operating characteristics. Particular emphasis is placed on the way in which smoothing should be implemented, when estimating either the characteristic itself or its variance. We show that...

Poskitt and Skeels (2003) provide a new approximation to the sampling distribution of the IV estimator in a simultaneous equations model, the approximation is appropriate when the concentration parameter associated with the reduced form model is small. A basic purpose of this paper is to provide...

Statistical models can play a crucial role in decision making. Traditional model validation tests typically make restrictive parametric assumptions about the model under the null and the alternative hypotheses. The majority of these tests examine one type of change at a time. This paper presents...

This paper proposes a preference based methodology, analogous to the estimation of equivalence scales in the demographic demand literature, for the estimation of the item specific intra country PPPs (i.e. spatial prices) and inter country PPPs in a unified framework using unit records of...