This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series with asymmetric long memory properties. It is shown that tapering the data reduces the bias caused by the asymmetry of the spectral density at the cyclical frequency. We provide a joint treatment...

Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asumptotically normal in the presence of long-range dependence. Generalizing the definition of the memory parameter d, we extend these results to include possibly...

We establish valid Edgeworth expansions for the distribution of smoothed nonparametric spectral estimates, and of studentized versions of linear statistics such as the same mean, where the studentization employs such a nonparametric spectral estimate. Particular attention is paid to the spectral...

This paper explains the losses (or errors) associated with pricing an American option in a multi-factor setting when using the true model but a suboptimal exercise strategy as a barrier option (a calibrated misspecified model, e.g., Black-Scholes). Pricing American options in a multi-factor...

The forward discount puzzle refers to the robust empirical finding that foreign excess returns are predictable. We investigate if expectations errors are the main cause of this predictability using the serial dependence pattern of excess returns implied by economic models as identification...

Purpose This research examined the role of post-conflict marketing in supporting businesses within conflict-affected regions, aligning with the objectives of UN Sustainable Development Goal 16 to foster peaceful societies amid increasing global conflicts. Design/methodology/approach Drawing from...