A large set of 5350 trend following technical trading rules is applied to LIFFE and CSCE cocoa futures prices, and to the Pound-Dollar exchange rate, in the period 1983:1 - 1997:6. We find that 72% of the trading rules generate positive profits, even when correcting for transaction and borrowing...

We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...

In a single-equation error correction model, two alternative formulations of a linear hypothesis on the long-run parameters and associated Wald test statistics are shown to arise from the covariance matrix estimator. A choice between the statistics is based on invariance properties and on lack...

A large set of 5350 trend following technica! trading rules is applied to LIFFE and CSCE cocoa futures prices, and to the Pound-Dollar exchange rate, in the period 1983:1-1997:6. We find that 72% of the trading rules generates positive profits, even when correcting for transaction and borrowing...

This discussion paper led to a publication in the <I>Journal of Economic Dynamics and Control</I>. Volume 31(6), pp. 1938-1970.<P> We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all...</p></i>

A large set of 5350 trend following technica! trading rules is applied to LIFFEand CSCE cocoa futures prices, and tothe Pound-Dollar exchange rate, in the period 1983:1-1997:6. We find that 72% ofthe trading rules generatespositive profits, even when correcting for transaction and borrowing...

We estimate a behavioral asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark....

This article seeks to find an answer to the question: 'How many stamps are still around, given that we know their prices at issue, the current price and the amount then issued?' For this purpose, I develop a simple statistical model, the parameters of which are estimated for over 1000 postwar...