Quasi-likelihood ratio tests for autoregressive moving-average (ARMA) models are examined. The ARMA models are stationary and invertible with white-noise terms that are not restricted to be normally distributed. The white-noise terms are instead subject to the weaker assumption that they are...

Governments borrow funds to finance the excess of cash payments or interest payments over receipts, usually by issuing fixed income debt and index-linked debt. The goal of this work is to propose a stochastic optimization-based approach to determine the composition of the portfolio issued over a...

Using data derived from a number of stand alone surveys in different countries, this paper explores international differences in the paths of diffusion of new manufacturing technologies. It is observed that diffusion paths are technology specific and that no one country either in Europe or North...

Using data from the third UK Community Innovation Survey we model the usage of e-business across and within firms in the UK in the year 2000 as a single observation upon an integrated process of inter- and intra-firm diffusion. The intra-firm dimension is a significant extension to standard...

The role of financial factors as constraints to innovation in the UK is explored using data on individual returns to the second and third Community Innovation Surveys. It is found that financial factors do impact upon innovative activity and that impact is more severe in higher tech sectors and...

This paper considers computer intensive methods for inference on cointegrating vectors in maximum likelihood analysis. It investigates the robustness of LR , Wald tests and an F-type test for linear restrictions on cointegrating space to misspecification on the number of cointegrating relations....

This paper investigates the effects of religious beliefs on stock prices. Our findings support the viewpoint that the religious tenets have important bearing on portfolio choices of investors. It is found that Shariah-compliant stocks have higher return and volatility than their non-Shariah...

This paper investigates spatio-temporal variations in ex-post credit risk in the United States, as a function of real estate prices, loan purchases made by government sponsored enterprises, and a set of local characteristics during the recent housing boom and bust.