Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this article it is argued that one...

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this articleit is argued that one...

We derive the exact finite sample distribution of the <I>L<SUB>1</SUB></I>-version ofthe Fisz-Cramér-von Mises test statistic (<I>L<SUB>1</SUB></I>-FCvM). We first characterizethe set of all distinct sample p-p plots for two balanced sampleof size <I>n</I> absent ties. Next, we order this set according to the correspondingvalue of...</i></i></sub></i></sub></i>

P-p plots contain all the information that is needed for scale-invariant comparisons. Indeed, Empirical Distribution Function (EDF) tests translate sample p-p plots into a single number. In this paper we characterize the set of all distinct p-p plots for two balanced sample of size <I>n</I> absent...</i>

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

See also the article in the <I>Review of Economics</I> (2014). Volume 65(1), pages 35-52.<P> The paper analyses academic journal quality and impact using quality weighted citations that are based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A recently developed Index of...</p></i>

See the article in the <I>Annals of Financial Economics</I> (2013). Volume 8(1), pages 1-30.<P> Experts possess knowledge and information that are not publicly available. The paper is concerned with forecasting academic journal quality and research impact using a survey of international experts from a...</p></i>

Virtually all rankings of journals are based on citations, including self citations by journals and individual academics. The gold standard for bibliometric rankings based on citations data is the widely-used Thomson Reuters Web of Science (2014) citations database, which publishes, among...

A central question in strategic management is why some firms perform better than others. One approach to addressing this question empirically is to decompose the variance in firm-level profitability into firm, industry, location, and year components. Although it is well established that data...

See also the article in <I>Econometrics</I> (2013). Volume 1(3), pages 217-235.<P> The paper focuses on the robustness of rankings of academic journal quality and research impact of 10 leading econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using...</p></i>