The one-way analysis of variance is concerned with comparing the locations of several one-dimensional samples. This paper gives a simple unified semi-graphical and semi-analytical approach to the problem based on approximation intervals for the locations of the samples. The intervals are...

We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the extended GARCH-family. In particular, the empirically observed changes in unconditional variance...

We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...

Testing for unit roots has been among the most heavily researched topics in Econometrics for the last quarter of a century. Much less researched is the equally important issue of the appropriate transformation if any of the variable of interest which should preceed any such testing. In...

We derive the probability limit of the standard Dickey-Fuller-test in the context of an exponential random walk. This result might be useful in interpreting tests for unit roots when the test is inadvertantly applied to the levels of the data when the true random walk is in the logs.

The one-way analysis of variance is concerned with comparing the locations of several one-dimensional samples. This paper gives a simple unified semi-graphical and semi-analytical approach to the problem based on approximation intervals for the locations of the samples. The intervals are...

Under fairly weak conditions it is shown that an optimal portfolio choice exists and is unique. It is further shown that this choice is a continuous function of the joint distribution function of the random returns on the assets from which the choice is made.