Market growth is driven by product innovation. Beyond functional satiationthe marginal utility of product performance and variety decreases. We argue that socialcomparisons underlying innovation diffusion results in consumer motivations for upwardassimilation toward the behavior of better...

We implement a long-horizon static and dynamic portfolio allocation involvinga risk-free and a risky asset. This model is calibrated at a quarterly frequencyfor ten European countries. We also use maximum-likelihood estimates andBayesian estimates to account for parameter uncertainty. We nd that...

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

This paper investigates whether the inherent non-stationarity of macroeconomic time series is entirely due to a random walk or also to non-linear components. Applying the numerical tools of the analysis of dynamical systems to long time series for the US, we reject the hypothesis that these...

The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation - given a history period for which a regression relationship is known to be stable,...

This paper deals with the relation between the term structure of rents and future spot rents.

Most time series models used in econometrics and empirical finance are estimated withmaximum likelihood methods, in particular when interest centers on density and Value{at{Risk (VaR) prediction. The standard maximum likelihood principle implicitly placesequal weight on each of the observations...

Applied researchers often test for the difference of the variance of two investment strategies;in particular, when the investment strategies under consideration aim to implementthe global minimum variance portfolio. A popular tool to this end is the F-test for theequality of variances....

The long memory characteristic of financial market volatility is well documentedand has important implications for volatility forecasting and optionpricing. When fitted to the same data, different volatility models calculate theunconditional variance differently and could have very different...