We study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times the bulk of the distribution (more than 99% of the...

In this study, we employ a recently developed econometric technique of the threshold model with the GJR-GARCH process on error terms to investigate the relationships between weather factors and stock market returns in Taiwan using daily data for the period of 1 July 1997–22 October 2003. The...

Using Monte Carlo simulation, threshold autoregressive (TAR) and momentum-threshold autoregressive (MTAR) asymmetric unit root tests are examined in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). It is shown that TAR and MTAR unit root tests exhibit greater...

We study the traffic behavior in the asymmetric two-route traffic system with real-time information. In the asymmetric two-route system, the length on route A is different from that on route B and there exists a bottleneck on route A. We extend the symmetric two-route dynamic model to the...

Assuming that the evolution of DNA bases frequencies is governed by a symmetric process with respect to the two DNA strands, a nice wrong model is obtained. This model is nice because it can be rejected from the sole inspection of base frequencies in DNA and its rejection, which is effective in...