This paper builds on Kocenda (2001) and extends it in three ways. First, new intervals of the proximity parameter ε (over which the correlation integral is calculated) are specified. For these ε-ranges new critical values for various lengths of the data sets are introduced, and through Monte...

This paper extends and generalizes the BDS test presented by Brock, Dechert, Scheinkman, and LeBaron (1996). In doing so it aims to remove the limitation of having to arbitrarily select a proximity parameter by integrating across the correlation integral. The Monte Carlo simulation is used to...

This paper proposes a test of iid distribution of data that allows to uncover nonlinear patterns in a time series. The proposed alternative (henceforth the K2K test) extends and generalizes the widely known BDS test. By its construction, it removes subjectivity in arbitrary choice of...

The exchange rate between the Naira and other currencies has continued to witness variability with depreciation. This variability makes it difficult to predict returns. Against this background, this paper examines the naira exchange rate vis-a-vis four other currencies. The impact of exogenous...

The exchange rate between the Naira and other currencies has continued to witness variability with depreciation. This variability makes it difficult to predict returns. Against this background, this paper examines the naira exchange rate vis-a-vis four other currencies. The impact of exogenous...

The magnitude of risk compensation in equity markets is an enduring puzzle in the field of the Economics of Finance. Bansal and Yaron (2004) and Bansal, Kiku and Yaron (2007a,b) have recently addressed the topic by picking out the long run growth prospects and the level of economic uncertainty...

We develop a multivariate dynamic term structure model, which takes into account the nonlinear (time-varying) relation between interest rates and the state of the economy. In contrast to the classical term structure literature, in which nonlinearities are captured by increasing the number of...

Modeling the unconditional distribution of returns on exchange rate and measuring its tails area are issues in the finance literature that have been studied extensively by parametric and non-parametric estimation procedures. However, a conflict of robustness is derived from them because the time...

This research paper presents statistical comparisons between two methods that are commonly used to estimate option implied Risk-Neutral Densities (RND). These are: 1) mixture of lognormals (MXL); and, 2) volatility function technique (VFT). The former is a parametric method whilst the latter is...