European economic integration is commonly believed to be incomplete, and that further reforms are needed. In this context, the union of U.S. states is considered the benchmark of complete economic integration and is often the basis for comparison regarding the extent of E.U economic integration....

Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1) errors. The asymptotic distributions of LS and ML estimators are derived under the condition alpha + beta 1. The former has the usual unit root distribution and the latter is a...

In this paper we examine tests for cointegration which allow for the possibility of regime shifts. We propose augmented Dickey-Fuller (ADF) and Phillips type tests designed to test the null of no cointegration against the alternative of cointegration in the presence of a possible regime shift....

The paper deals with the quickest detection of a change of the drift of the Brownian motion. We show that the generalized Bayesian formulation of the quickest detection problem can be reduced to the optimal stopping problem for a diffusion Markov process. For this problem the optimal procedure...

Abstract We consider a sequential testing problem of three hypotheses that the unknown drift of a Brownian motion takes one of three values. We show that this problem can be solved by a reduction to an optimal stopping problem for local times of the observable process. For the case of...

This dissertation consists of three independent sections: In the first part, focusing on the auto industry we look at the challenges and solution strategies of employing build-to-order (BTO) with global supply. We consider some familiar tools for managing domestic supply and exploit them for...

Of the five finalists, the winning team included Siddharth Coelho-Prabhu, Arpit Dharia, Akshay Kotak, Jason Kumar, Shyam Mehta, and Ranjini Ragunathan with adviser John Vande Vate who worked on a project with Intel titled, Designing Cost-Effective Distribution Strategies for Intel's Proposed...

In this paper, I study the dynamic delegation problem in a principal-agent model wherein an agent privately observes a persistently evolving state, and the principal commits to actions based on the agent's reported state. There are no transfers. While the agent has state-independent preferences,...

This paper considers the option pricing when dynamic portfolios are discretely rebalanced.

Few authors have studied, either asymptotically or in finite samples, the size and power of seasonal unit root tests when the data generating process [DGP] is a non-stationary alternative aside from the seasonal random walk. In this respect, Ghysels, lee and Noh (1994) conducted a simulation...