We propose an approach to investigate the stationarity properties of individual units in a panel based on testing user-defined increasing proportions of hypothesized stationary units sequentially. Asymptotically valid critical values are obtained using the block bootstrap. This sequential...

In spite of the increased use of factor-augmented regressions in recent years, little is knownregarding the relative merits of the two main approaches to estimation and inference, namely, thecross-sectional average and principal components estimators. As a response to this, the currentpaper...

Predicting the occurrence of extreme prices, so-called spikes, is one of the greatest challengeswhen modeling electricity spot prices. Despite the fact that recently new insights have beenachieved, the contemporaneous literature seems to be still at its beginning of understanding...

The role of detrending in bootstrap unit root tests is investigated. When bootstrapping, detrending must not only be done for the construction of the test statistic, but also in the first step of the bootstrap algorithm. It is argued that the two points should be treated separately. Asymptotic...

Following prospect theory we consider decision making under risk in which the decision maker''s preferences depend on a reference outcome. An outcome below this reference outcome is regarded as resulting from a loss: a loss decreases the decision maker''s basic utility more than a comparable...

__Abstract__ Shipping activity has increased worldwide and maritime administrations are trying to enhance risk mitigation strategies by using proactive approaches. We present and discuss a conceptual framework to minimize potential harm based on a multi-layered approach which can be implemented...

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...

The authors perform an original research on the fundamentals of winning virtuous strategies creation toward the leveraged buyout transactions implementation during the private equity investment in the conditions of the resonant absorption of discrete information in the diffusion - type financial...