We estimate a behavioral asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark....

In this paper we propose a model selection strategy for a univariate periodic autoregressive time series which involves tests for one or more unit roots and for parameter restrictions corresponding to seasonal unit roots and multiple unit roots at the zero frequency. Examples of models that are...

In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002). The approach only requires (non-linear) least-squares methods in combination with univariate GARCH estimation, and as such is...

A large set of 5350 trend following technical forecasting rules is applied to LIFFE and CSCE quoted cocoa futures prices, and to the Pound-Dollar exchange rate in the period 1983:1-1997:6. We find that 14% of these forecasting rules when applied to the LIFFE cocoa futures price earn a...

This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to a multivariate context. Persistent changes in the innovation variance matrix of a vector autoregressive model lead to size distortions in conventional cointegration tests,...

The begin and end dates of cartels are often ambiguous, despite competition authorities stating them with precision. The legally established infringement period(s), based on documentary evidence, need not coincide with the period(s) of actual cartel effects. In this paper, we show that misdating...

To what extent can the bootstrap be applied to conditional mean models – such as regression or time series models – when the volatility of the innovations is random and possibly non-stationary? In fact, the volatility of many economic and financial time series displays persistent changes and...

To examine cross-country diffusion of new products, marketing researchers have to rely on a multivariate product growth model. We put forward such a model, and show that it is a natural extension of the original Bass (1969) model. We contrast our model with currently in use multivariate models...

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and space amplification of jumps in option...