In this paper we apply compactly supported wavelets to the ARFIMA(p,d,q) long-memory process to develop an alternative maximum likelihood estimator of the differencing parameter, d, that is invariant to the unknown mean and model specification, and to the level of contamination. We show that...

We rank institutions and researchers based on a standardized page count of their econometric theory publications over the last eleven years (1986-1996) in nine economics and statistics journals. Our ranking criteria differ from those employed by Hall (1987, 1990) and Baltagi (1998). We weight...

This paper attempts to establish a link between aggregation and index theory, which exists under perfect certainty, but is not known to exist under risk aversion. The paper develops a consumer based demand for money problem where the consumer is risk averse and has a known theoretical monetary...

This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given a...

This paper extends the existing fully parametric Bayesian literature on stochastic volatility to allow for more general return distributions. Instead of specifying a particular distribution for the return innovation, nonparametric Bayesian methods are used to flexibly model the skewness and...

By design a wavelet's strength rests in its ability to simultaneously localize a process in time-scale space. The wavelet's ability to localize a time series in time-scale space directly leads to the computational efficiency of the wavelet representation of a N X N matrix operator by allowing...

In this paper we apply wavelet analysis to the class of fractionally integrated processes to show that this class is a member of the $1/f$ family of processes as defined by Wornell (1993) and to produce an alternative method of estimating the fractional differencing parameter. Currently the...

This paper develops a consistent OLS estimate of a fractionally integrated processes' differencing parameter, using continuous wavelet theory as constructed from smoothing kernels. We show that a log-log linear relationship exists between the variance of the wavelet coefficient and the level at...

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the contemporaneous relationship between market excess...