A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as well as time-varying volatility are priced. The parametric pricing model nests the Black-Scholes model and can explain volatility smiles and skews in stock options. The data...

Volatility smiles arise in currency option markets when empirical exchange rate returns distributions exhibit leptokurtosis. This feature of empirical distributions is symptomatic of turbulent periods when exchange rate movements are in excess of movements based on the assumption of normality....

Indirect estimation methods are proposed for estimating univariate ARFIMA , as well as more complex multivariate VARFIMA models. Special attention is given to comparing the finite sampling properties of the indirect estimator with Sowell's (1992a) exact time domain maximum likelihood estimator...

The purpose of this paper is to use a large data set comprising individual’s responses to survey questions about future economic conditions, unemployment and prices to explore lay people’s models of the economy and specifically their understanding of the relationship between unemployment and...

In this paper we look at the way in which the ABS derives gross flows data from successive Labour Force Surveys. The procedure used by the ABS is described and a measure of the 'matching rate' obtained. We develop a simple theoretical model designed to explore the relationship between the Labour...