This paper provides an early warning indicator for bubbles in financial markets. The indicator is based on traditional unit root tests, more precisely on the augmented Dickey-Fuller test and may be used in a repeated manner with rolling samples. The performance of the indicator is tested...

This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard...

In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions...

This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...

Engle and Russell (1998) introduce the autoregressive conditional duration (ACD) model to model the dynamics of financial duration. It is recognized that the ACD model can be specified in ARMA form. We show that as long as the innovations of the ACD model follows a lognormal distribution, the...

This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that the QML estimator performs as well as CLS and...

The purpose of this paper is to provide that the explanation of excessive volatility can be only done through an attentive description of the psychological aspects of the investors. Our interest is carried in particular to the overconfidence bias. Our objective in this study is to identify...

In this article the relationship between market return and volatility is examined by applying out-of-sample methodology and ARCH (M) class models in the Tehran Stock Exchange (TSE) and international stock exchanges. The results are inconsistent with portfolio theory implications in NASDAQ, ISE...

The article deals with a class of stochastic processes, the Multifractional Processes with Random Exponent (MPRE), recently introduced to gain flexibility in modeling many complex phenomena. We claim that MPRE can capture in a very parsimonious way most of the well known financial stylized...