The BDS statistic, rooted on the correlation integral, has been proven to be useful for different problems. But although the correlation integral is defined for any choice of delay time, the BDS statistic assumes delay time is one. As different studies have shown, an adequate choice of delay...

Using high-frequency S&P 500 data, we examined intraday efficiency by comparing the ability of several nonlinear models to forecast returns for horizons of 5, 10, 30 and 60 min. Taking into account fat tails and volatility dynamics, we compared the forecasting performance of simple random walk...

Policy function iteration methods for solving and analyzing dynamic stochastic general equilibrium models are powerful from a theoretical and computational perspective. Despite obvious theoretical appeal, significant startup costs and a reliance on grid-based methods have limited the use of...