This paper employs a parametric model of persistent (level) shifts in the conditional mean of stock market returns which are endogenously driven by large positive or negative return shocks. These shocks can be taken to reflect important market announcements, monetary policy regime changes and/or...

This paper constructs tests for the presence of nonlinearity of unknown form in addition to a fractionally integrated, long memory component in a time series process. The tests are based on artificial neural network structures and do not restrict the parametric form of the nonlinearity. The...

This paper considers estimation and inference in some general non linear time series models which are embedded in a strongly dependent, long memory process. Some new results are provided on the properties of a time domain MLE for these models. The paper also includes a detailed simulation study...

This paper presents a new hierarchical methodology for estimating multi factor dynamic asset pricing models. The approach is loosely based on the sequential Fama-MacBeth approach and developed in a kernel regression framework. However, the methodology uses a very flexible bandwidth selection...

Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...

This paper presents a new hierarchical methodology for estimating multi factor dynamic asset pricing models. The approach is loosely based on the sequential approach of Fama and MacBeth (1973). However, the hierarchical method uses very flexible bandwidth selection methods in kernel weighted...