Bansal and Yaron (2004) demonstrate, by calibration, that the Consumption-based Capital Asset Pricing Model (CCAPM) can be rescued by assuming that consumption growth rate follows a stochastic volatility model. They show that the conditional equity premium is a linear function of conditional...

This paper tests for price convergence in Russian energy markets from January 2003 to October 2010. Monthly energy prices for four energy products (diesel, gasoline, electricity and coal) for 83 Russian regions are drawn from Russia's statistical agency Rosstat. The study contributes to the...

The purpose of this paper is to examine the relevance of applying nonlinear panel unit root test to examine the non-linear mean reversion behaviors of real exchange rates. We find that nonlinear panel unit root test may achieve lower power performance as compared to its alternative of linear...