This paper introduces an improved procedure for estimating capital asset price indexes. We jointly estimate conventional hedonic and repeat sales models via maximum-likelihood procedures, thereby taking advantage of the unique features of the individual models and using all the data that are...

It is often documented, based on autocorrelation, variance ratio, and power spectrum, that exchange rates approximately follow a martingale process. Because these data check serial uncorrelatedness rather than martingale difference, they may deliver misleading conclusions in favor of the...