The paper introduces a t-ratio type test for detecting bilinearity in a stochastic unit root process. It appears that such process is a realistic approximation for many economic and financial time series. It is shown that, under the null of no bilinearity, the tests statistics are asymptotically...

Ninety-three world-wide inflation series are tested for unit roots. Treating the data series' innovations as draws from a symmetric stable distribution, with possibly infinite variance, reduces the number that appear stationary.

This paper analyses the predictability of a hypothetical market with freely negotiated prices on which exists a censoring of one-period returns which are in excess of an arbitrary level ('floor' and 'ceiling'). It is shown that the expected value of returns (adjusted for drift) conditional on...

This paper investigates the relationship between parameters of stable distributions and characteristics of speculative processes. An empirically feasible estimation method of parameters of speculative processes through a conversion from stable distribution parameters is suggested.