This paper studies arbitrage-free conditions for multiperiod asset pricing in frictional financial markets with proportional transaction costs. We consider the Euclidean space for weakly arbitrage-free security markets and Strongly arbitrage-free security markets, and establish the weakly...

This paper uses computational techniques to assess whether or not various propositions that have been advanced as plausible in the literature on regional trade agreements may actually hold. The idea is to make probabilistic statements as to whether propositions of interest might hold, rather...

Bagwell and Staiger (1999) conclude that the reason for governments to enter trade negotiation is the terms-of-trade externality, which creates an inefficiency in unilateral trade policies. To address this conclusion, the authors consider that protection may be motivated by many other objectives...

We show that the use of prior information derived from former empirical findings and/or subject matter theory regarding the lag structure of the observable variables together with an AR process for the error terms can produce univariate and single equation models that are intuitively appealing,...

We consider a semiparametric GARCH model where the functional form for the conditional density of the errors is unknown. Adaptive conditions of the parameters are examined. Semiparametric Maximum Likelihood (SML) estimators are constructed by maximizing the nonparametric pseudo log-likelihood...