Abstract Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite financial literature provides evidence of long-term´s memory existence, serial-independence assumption prevails. This document´s long-term dependence...

This paper is motivated by the common argument that clean air is a luxury good and has much less or even no value in a less developed country. It applies a hedonic property value analysis, a method commonly used to infer the value of clean air in developed countries, using a combination of data...

This paper compares the effects of weather shocks on agricultural production in Britain, France and Germany during the late nineteenth century. Using semi- parametric models to estimate the non-linear agro-weather relationship, we find that weather shocks explain between one and two-thirds of...

A time-varying quantile can be fitted to a sequence of observations by formulating a time series model for the corresponding population quantile and iteratively applying a suitably modified state space signal extraction algorithm. Quantiles estimated in this way provide information on various...

A time-varying quantile can be fitted to a sequence of observations by formulating a time series model for the corresponding population quantile and iteratively applying a suitably modified state space signal extraction algorithm. It is shown that such time-varying quantiles satisfy the defining...

We consider forecasting and prequential (predictive sequential) validation of meta-elliptical distributions with time varying parameters. Using the weak prequential principle of Dawid, we conduct model validation avoiding nuisance parameters problems. Results rely on the structure of...

Most philosophers and social scientists argue that the relationship between life satisfaction and its determinants is intermediated by cultural drivers (education, race, gender, religion, regional cultural background, etc.) and that (as suggested by descriptive evidence on "frustrated...

China's accelerated growth rate during the reform period 1978-97 has reinforced concerns about how to cope with continued expansion while also maintaining balanced regional growth. We examine the tendency to, and the speed of, provincial income convergence during the two periods: pre-reform...

Notions of monotone ordering with respect to continuous covariates in duration data regression models have recently been discussed, and tests for the proportional hazards model against such alternatives have been developed (Bhattacharjee and Das, 2002). Such monotone/ ordered departures are...

We provide a new framework for identifying timing. Our analysis focuses on the smoothed joint history of the fund with the benchmark. The approach is fully non-parametric. Therefore, it has the advantage of avoiding the misspecification problems so common in this literature. The test statistic...