In this paper consistency and asymptotic normality of the quasi maximum like-lihood estimator in the level-effect ARCH model of Chan, Karolyi, Longstaff and Sanders (1992) is established. We consider explicitly the case where the parameters of the conditional heteroskedastic process are in the...

In this paper, we develop a likelihood approach for quantification of qualitative survey data on expectations and perceptions and we propose a new test for expectation consistency (unbiasedness). Our quantification scheme differs from existing methods primarily by using prior information...

We are interested in modelling the time series process yt=[sigma](xt)[epsilon]t, where [epsilon]t=[phi]0[epsilon]t-1+vt. This model is of interest as it provides a plausible linkage between risk and expected return of financial assets. Further, the model can serve as a vehicle for testing the...

We analyze the random field regression model approach recently suggested by Hamilton (2001, Econometrica, <b>69,</b> 537--73). We show through extensive simulation studies that although the random field approach is indeed very closely related to the non-parametric spline smoother it seems to offer...

The classical rational expectations model of commodity markets implies that expected spot price risk is an explanatory variable in spot price regressions; and also that inventory carryover, which is reduced by a larger price variance, creates autoregressive conditional heteroscedastic processes...

Forecasting using factor models based on large data sets have received ample attention due to the models’ ability to increase forecast accuracy with respect to a range of key macroeconomic variables in the US and the UK. However, forecasts based on such factor models do not uniformly...

Low birthweight outcomes are associated with large social and economic costs, and therefore the possible determinants of low birthweight are of great interest. One such determinant which has received considerable attention is maternal smoking. From an economic perspective this is in part due to...

This paper applies six recently developed nonparametric tests of serial independence <p> to monthly US stock returns. Findings of previous studies based on the BDS test are sup-ported <p> since most of the new tests also reject the random walk hypothesis. Furthermore, <p> power properties of the new...</p></p></p>

This article studies how decentralization of wage bargaining from sector to firm level influences wage levels and wage dispersion. We use detailed panel data covering a period of decentralization in the Danish labor market. The decentralization process provides variation in the individual...