When applied to time series processes containing occasional level shifts, the log-periodogram (GPH) estimator often finds long memory. For a stationary markov switching process, which does not contain long memory, I show that the GPH estimator is substantially biased and I derive an asymptotic...

We propose a new method to improve density forecasts of the equity premium using information from options markets. We obtain predictive densities from stochastic volatility (SV) and GARCH models, which we then tilt using the second moment of the risk-neutral distribution implied by options...

We critically review the Environmental Protection Agency's (EPA) assessment of the costs and benefits of the Renewable Fuel Standard (RFS2) as summarized in its regulatory impact analysis (RIA). We focus particularly on EPA's methods used to calculate the costs of the policy on the US fuel...