Usually, the time series of electricity prices in different markets show structural changes due to economic conditions related to supply, demand or specific market rules. While some of the proposals for modeling these series are based on mean reversion models inspired by the financial literature...

The main objective of this article is to study the relation between volumes and return asymmetries for most of the Latin American Stock Markets, including Argentina, Brazil, Chile, Colombia, Mexico and Peru. The selected methodology for this study considers the first three moments of operational...

This paper considers the model of voluntary, consensus based standardization as developed through the British Standards Institution (BSI) and its contribution to learning and productivity growth. It discusses the contribution of professional engineers to the model's introduction, its extension...

An essential component in the analysis of (hedge) fund returns is to measure its performance with respect to the group of peer funds. Through the analysis of risk-adjusted return percentiles an answer is given to the question how many funds are out-performed by the focal fund. In case all funds...

This paper presents an essay on empirical testing procedure for economic convergence. Referring to the unit root test proposed by Moon and Perron (2004), we proposed a modified Evans (1996) testing procedure of the convergence hypothesis. The advantage of this modified procedure is that it makes...

(VF)Nous proposons ici une modification de la procédure de test de convergence en panel d'Evans et Karras (1996). La littérature empirique sur la convergence économique a tendance à ignorer les phénomènes d'interdépendances et de changement structurel qui affectent l'équation de...

(VF)Nous proposons ici une modification de la procédure de test de convergence en panel d'Evans et Karras (1996). La littérature empirique sur la convergence économique a tendance à ignorer les phénomènes d'interdépendances et de changement structurel qui affectent l'équation de...

This paper provides estimates of the elasticity of substitution between operational and managerial jobs in the US economy during the years 1969-2011, derived from an aggregate CES production function. Estimating the long-term relationship between (the log of) the aggregate...

This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in Phillips, Wu and Yu (2011, PWY) and Phillips, Shi and Yu (2013b, PSY). Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data...

This paper examines the preferred-habitat theory under time-varying risk aversion. The predicted positive relation between the term spread and relative supply of longer-term debt is stronger when risk aversion is high. To capture this effect, a time-varying coefficient model is introduced and...