The catching up process in Czech Republic, Hungary and Poland is analysed by investigating the integration properties of log-differences in per-capita GDP vs. the EU15 and a Mediterranean country group. We account for structural changes by using unit root tests that allow for two endogenous...

The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface...

Bootstrap‐based methods for bias‐correcting the first‐stage parameter estimates used in some recently developed bootstrap implementations of co‐integration rank tests are investigated. The procedure constructs estimates of the bias in the original parameter estimates by using the average...