This is the FINAL draft of this paper reporting the results of a long ongoing competition. The paper now is forthcoming in the Journal of Econometrics. This final version replaces the earlier draft that was also in this archive. Interest has been growing in testing for nonlinearity or chaos in...

We develop an ordinary least squares estimator of the long memory parameter from a fractionally integrated process that is an alternative to the Geweke Porter-Hudak estimator. Using the wavelet transform from a fractionally integrated process, we establish a log-linear relationship between the...

In this paper we apply compactly supported wavelets to the ARFIMA(p,d,q) long-memory process to develop an alternative maximum likelihood estimator of the differencing parameter, d, that is invariant to the unknown mean and model specification, and to the level of contamination. We show that...

Since 1970 nearly all-Mediterranean countries of the EC had undertaken measures to regulate their domestic market for ordinary wines, in the context of constant fall in domestic demand for that product. This paper provides an empirical modelling framework for understanding the effect on the...

A common finding in the empirical literature is that financial volatility exhibits high persistence, or slow mean reversion of the order of months. We present evidence that financial volatility data contains more than a single time scale. After showing that the expectation of the sum of the...

Credit risk models like Moody’s KMV are now well established in the market and give bond managers reliable estimates of default probabilities for individual firms. Until now it has been hard to relate those probabilities to the actual credit spreads observed on the market for corporate bonds....

Efforts to simulate turbulence in the financial markets include experiments with the logistic equation: x(t)=kappa x(t-1)[1-x(t-1)], with 0 x(t)1 and 0 = kappa 4. Visual investigation of the logistic equation show the various stability and instability regimes for the various value of the...

In this paper, I analyze recent findings by Coe and Helpman (1995) of trade-related international R&D spillovers. I show generally that randomly created bilateral trade shares also give rise to large estimated international R&D spillovers; often, in fact, to larger estimated spillover effects...

In this paper we investigate the so called foresight bias that may appear in the Monte-Carlo pricing of Bermudan and compound options if the exercise criteria is calculated by the same Monte-Carlo simulation as the exercise values. The standard approach to remove the foresight bias is to use two...

We propose a structural credit risk model for consumer lending using option theory and the concept of the value of the consumer’s reputation. Using Brazilian empirical data and a credit bureau score as proxy for creditworthiness we compare a number of alternative models before suggesting one...