Traditional models of financial asset yields are based on a number of simplifying assumptions. Among these are the primary assumptions that changes in asset yields are independent, and that the distribution of these yields is approximately normal. The development of financial asset pricing...

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach, based on the tests of Robinson (1994), introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a...

The time horizon of decision-making is an essential dimension of economic problemsbut is difficult to explicitly define. In this thesis, we use time series analysisaugmented by wavelet transform methods to precisely identify distinct time horizonsin economic data and measure their explanatory...

We provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Mostprocedures for modeling and forecasting financial asset return volatilities, correlations,...

Recent empirical studies have argued that the temporal dependencies in "nancialmarket volatility are best characterized by long memory, or fractionally integrated, timeseries models. Meanwhile, little is known about the properties of the semiparametric inference procedures underlying much of...

This paper examines historical data on daily real wages in England for the time period 1260-1994 by means of new statistical techniques suitable for modelling long memory both at the long run and the cyclical frequencies. Specifically, it uses a procedure due to Robinson (1994) which is based,...

This paper examines a version of the tests of Robinson (1994) that enables one to test models of the form (1-Lk)dxt = ut, where k is an integer value, d may be any real number, and ut is I(0). The most common cases are those with k = 1 (unit or fractional roots) and k = 4 and 12 (seasonal unit...

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a sequential procedure), using a Lagrange...

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework, using a Lagrange Multiplier procedure with a standard null limit...