The analysis of repeated surveys can be approached using model-based inference, utilising the methods of time series analysis. On a long run of repeated surveys it should then be possible to enhance the estimation of a survey parameter. However, many repeated surveys that are suited to this...

Firms often delegate important decisions to committees which are set up specifically for that purpose; for example selection committees. We analyze the equilibrium behavior of a game in which committee members (the players) interview candidates sequentially, either hiring or going on to the next...

This paper studies the estimation of a semi-strong GARCH(1,1) model when it does not have a stationary solution, where semi-strong means that we do not require the errors to be independent over time. We establish necessary and sufficient conditions for a semi-strong GARCH(1,1) process to have a...

We propose estimators of previous termfeatures of the distributionnext term of an unobserved random variable W. What is observed is previous termanext term sample of Y,V,X where previous termanext term binary Y equals one when W exceeds previous termanext term threshold V determined by...

This article is concerned with evaluating Value-at-Risk estimates. It is well known that using only binary variables, such as whether or not there was an exception, sacrifices too much information. However, most of the specification tests (also called backtests) available in the literature, such...

Empirical evidence has emerged of the possibility of fractional cointegration such that the gap, β, between the integration order δ of observable time series and the integration order γ of cointegrating errors is less than 0.5. This includes circumstances when observables are stationary or...

We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multiple time series. Memory parameters of observables are treated as unknown, as are those of possible cointegrating errors. The individual test statistics have standard null asymptotics and are...

Moving from univariate to bivariate jointly dependent long-memory time series introduces a phase parameter (γ), at the frequency of principal interest, zero; for short-memory series γ=0 automatically. The latter case has also been stressed under long memory, along with the “fractional...

We examine a test for the hypothesis of weak dependence against strong cyclical components. We show that the limiting distribution of the test is a Gumbel distribution, denoted G(·). However, since G(·) may be a poor approximation to the finite sample distribution, being the rate of the...

In this paper we analyse the equilibrium structure for a particular type of electricity market. We consider a market with two generators offering electricity into a pool. Generators are centrally dispatched, with cheapest offers used first. The pool price is determined as the highest-priced...