This paper deals with the estimation and testing of conditional duration models by looking at the density and baseline hazard functions. More precisely, we focus on the distance between the aprametric density (or hazard rate) function implied by the duration process and its non-parametric estimate.

Benhabib and Farmer [3] showed that a single sector growth model in the presence of increasing returns-to-scale may display an indeterminate equilibrium if the demand and supply curves cross with the "wrong slopes". We generalize their result to a model with preferences that are non-separable in...

This paper develops statistical and computational tools for modelling returns forecasts to be used by a risk neutral investor. Any forecast with the same sign as the conditional mean optimises the loss function derived from this agents' decision problem, so the class of optimal predictors is...

Though economic theory is not able to establish any foundation for the behaviour of the economic agents, it can provide useful criteria for classifying their different ways of bahaving. It is of interest to look at the type of behaviour that is likely to emerge in the economy.

We analyse the relative performance of the IMF, OECD and EC in forecasting the government deficit, as a ratio to GDP, for the G7 countries. Interesting differences across countries emerge, sometimes supporting the hypothesis of an asymmetric loss function (i.e. of a preferrence for...

In this paper we eamine the characteristics of market opening news and its impact on the estimated coefficients of the conditional volatility model of the GARCH class.

The empirical evidence of the Purchasing Power Parity (PPP) Hypothesis in the exchange rate market is examined by means of fractional integration analysis.

This paper constructs a composite index of coincident economic indicators (CEI), which tracks the state of the Spanish economy better than real GDP, and provides a rigorous dating of the Spanish business cycle turning points.

It is a well established idea that Bertrand competition is more efficient in welfare terms than Cournot competition regardless of the degree of substituability or complementary of the commodities produced by the firms. In this paper I show that, introducing incomplete information abour rivals'...

This paper investigates the effects of introducing imperfect competition in an international business cycle model. We provide some international evidence on markups and analyze the implicactions of increasing returns to scale and monopolistic competition for the effects and the international...