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Nearly efficient likelihood ratio tests of the unit root hypothesis

Jansson, Michael; Nielsen, Morten Ørregaard - 2009

Seemingly absent from the arsenal of currently available nearly efficient testing procedures for the unit root hypothesis, i.e. tests whose local asymptotic power functions are indistinguishable from the Gaussian power envelope, is a test admitting a (quasi-)likelihood ratio interpretation. We...

Persistent link: https://www.econbiz.de/10010290384

Why the legal system is not necessarily less efficient than the income tax in redistributing income

Usher, Dan - 2009

A common, though by no means universally-accepted doctrine among practitioners of law and economics is that redistribution is no business of the law. This efficiency-only doctrine is not that redistribution is unworthy as a social objective, but that any given benefit to the poor is attainable...

Persistent link: https://www.econbiz.de/10010290386

Son to father reciprocity and encephalization in early humans

Hartwick, John M. - 2009

Humans exhibit much more sharing of food harvested by prime-age hunter-gatherers with dependents relative to such sharing by lower-order primates. We investigate this behavior in a model in which a father provides generously to his dependent child-son in period t in the hope that this gesture...

Persistent link: https://www.econbiz.de/10010290390

The emergence and future of central counterparties

Koeppl, Thorsten V.; Monnet, Cyril - 2010

We explain why central counterparties (CCPs) emerged historically. With standardized contracts, it is optimal to insure counterparty risk by clearing those contracts through a CCP that uses novation and mutualization. As netting is not essential for these services, it does not explain why CCPs...

Persistent link: https://www.econbiz.de/10010290393

Finite sample accuracy of integrated volatility estimators

Nielsen, Morten Ørregaard; Houmann Frederiksen, Per - 2005

compared in a simulation study which reveals a general robustness towards persistence or jumps in the latent stochastic …

Persistent link: https://www.econbiz.de/10010290394

A vector autoregressive model for electricity prices subject to long memory and regime switching

Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten … - 2009

-congestion means that electricity prices are identical whereas congestion makes prices depart. Hence, the joint price dynamics implies … switching between a univariate price process under non-congestion and a bivariate price process under congestion. At the same …-congestion, the prices are not, in general, fractionally cointegrated in the congestion state. Hence, in most cases price convergence …

Persistent link: https://www.econbiz.de/10010290397

Fair collective choice rules: Their origin and relationship

Nishimura, Yukihiro - 2008

This paper provides a conceptual framework on fair collective choice rules that synthesizes the studies of Goldman and Sussangkarn (1978) and Suzumura (1981) on the one hand and Tadenuma (2002, 2005) on the other. We show that both frameworks have the following binary relation as a common...

Persistent link: https://www.econbiz.de/10010290399

A necessary moment condition for the fractional functional central limit theorem

Johansen, Søren; Ørregaard Nielsen, Morten - 2010

We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x_{t}=Delta^{-d}u_{t}, where d in (-1/2,1/2) is the fractional integration parameter and u_{t} is weakly dependent. The classical condition is existence of qmax(2,(d+1/2)^{-1}) moments...

Persistent link: https://www.econbiz.de/10010290400

A Lindahl solution to international emissions trading

Nishimura, Yukihiro - 2008

We consider international negotiations on the level of global pollution, and examine the Lindahl solution which determines the distribution of the pollution permits with unanimous agreement. We show various properties to clarify difficulties to achieve a Pareto efficient allocation as an...

Persistent link: https://www.econbiz.de/10010290407

The implied-realized volatility relation with jumps in underlying asset prices

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005

Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...

Persistent link: https://www.econbiz.de/10010290416