This research finds empirical evidence indicating that smoothed real asset prices lead security prices in a controlled economy. The results are important for illustrating the effect controlled inflation can have on controlled security prices. Copyright 1999 by Kluwer Academic Publishers

Several recent studies advocate the use of nonparametric estimators of daily price variability that exploit intraday information. This paper compares four such estimators, realised volatility, realised range, realised power variation and realised bipower variation, by examining their in-sample...

We investigate the univariate procedure used by Ane and Geman (AG, 2000) to recover the moments of the information flow from high-frequency data, in a mixture of distributions model which generalizes the subordinated process in Clark (1973). We explain why the third and higher moments of the...

We review the time series econometrics package TSMod. The new features in TSMod 4.03, released in April 2004, are described and its potential for teaching is analysed. Copyright © 2005 John Wiley & Sons, Ltd.

Finite sample critical values of the rescaled range or R/S statistic may be obtained by bootstrapping. The empirical size and power performance of these critical values is good. Using the post blackened, moving block bootstrap helps to replicate the time dependencies in the original data. The...