This paper considers testing for jumps in the exponential GARCH (EGARCH) models with Gaussian and Student-t innovations. The Wald and log likelihood ratio tests contain a nuisance parameter unidentified under the null hypothesis of no jumps, and hence are unavailable for this problem, because...

This paper examines the ASEAN-5 countries and explores the impact of structural breaks on the level of financial integration in that region. An extended cointegration procedure allowing for three types of structural break, is employed and compared with the standard Johansen procedure, for daily...

This paper proposes the Lagrange multiplier (LM) test, or the score test, for jumps in the stochastic volatility (SV) model in the cases where the innovation term follows the normal and Student t-distributions. The tested null hypothesis is that the jump density has zero variance, which is...

This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero differences between observations, thereby increasing the use of sample information. Simulations demonstrate the power superiority of the...

Testing for stochastic dominance among distributions is an important issue in the study of asset management, income inequality, and market efficiency. This paper conducts Monte Carlo simulations to examine the sizes and powers of several commonly used stochastic dominance tests when the...

This paper explores seasonal and long-memory time series properties by using the fractional ARIMA model when the data have one and two seasonal periods and short-memory components. The stationarity and invertibility parameter conditions are established for the model studied. To estimate the...

This paper investigates the behaviour of US stock prices using an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. The TAR model is applied to monthly stock price (NYSE Common Stocks) data for the US for the period 1964:06 to 2003:04. Amongst our...

We present the results of a simulation study into the properties of 12 different estimators of the Hurst parameter, H, or the fractional integration parameter, d, in long memory time series which are available in R packages. We compare and contrast their performance on simulated Fractional...

Many macroeconomic forecasts and forecast updates like those from IMF and OECD typically involve both a model component, which is replicable, as well as intuition, which is non-replicable. Intuition is expert knowledge possessed by a forecaster. If forecast updates are progressive, forecast...

Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are subject to not only to changes in demand, but also speculation regarding future markets. Japan and Singapore are the major future markets for rubber, while Thailand is one...