The relationship between the initial condition of time series data and the power of the Dickey-Fuller (1979) test and a number of modified Dickey-Fuller tests is examined. The results obtained extend the asymptotic analysis of Muller and Elliott (2003) by both focussing upon finite-sample power...

A weighting scheme is proposed to construct a new index of environmental quality based on greenhouse gas (GHG) emissions for different countries using an approach that relies on consistent tests for stochastic dominance (SD) efficiency. The benchmark is an index that is based on the average...

This article describes the data collection and use of data for the computation of rankings within RePEc (Research Papers in Economics). This encompasses the determination of impact factors for journals and working paper series, as well as the ranking of authors, institutions, and geographic...

We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation...

In the paper, we research on the presence of long-range dependence in returns and volatility of Hungarian (BUX), Czech (PX) and Polish (WIG) stock indices between years 1997 and 2009 with a use of classical and modified rescaled range and rescaled variance analyses. Moving block bootstrap with...

Industry 4.0 is related in each place and with the use and implementation of new technologies for the continuous improvement of administrative processes. As part of the growth of an organization, it is important that day by day it adapts to technological changes that affect worker operations or...

The collapse of world currencies had created most of investors and public did not want to keep currency as their reserves. They plan to possess other financial instruments such as commodities and precious metals as a substitute for currencies; and one of it is gold. Gold had been identified as a...

The sample covariance matrix is known to contain substantial statistical noise, making it inappropriate for use in financial decision making. Leading researchers have proposed various filtering methods that attempt to reduce the level of noise in the covariance matrix estimator. In most cases,...

Contemporary actuarial and accounting practices (APN 110 in the South African context) require the use of market-consistent models for the valuation of embedded investment derivatives. These models have to be calibrated with accurate and up-to-date market data. Arguably, the most important...

The marketing and sales polices of Iranian crude oil have been revised and changed after the Islamic Revolution of 1979. Production policy that drastically cut back production in order to maintain oil reserves for future generations. In terms of marketing Iranian crude oil, the new revolutionary...