What is the relationship between the arrival rate of tourists at a transport providing firm's depot and the long run expected wait time experienced by individual tourists in this depot? We use a renewal theoretic framework in this note to answer this question. Our analysis yields two results....

According to the Taylor-Effect the autocorrelations of absolute financial returns are larger than the ones of squared returns. In this work, we analyze in detail, for two different asymmetric stochastic volatility models, how the Taylor-Effect relates to the most important model characteristics:...

This paper addresses the combination of incomplete prior and sample information. In difference to the mixed estimation approach developed by H. Theil and A.S. Goldberger, dealing with prior knowledge of regression coefficients, we consider prior information on future observations of the...

This note conducts recursive Monte Carlo experiments on the Bartlett correction for a likelihood-based test on cointegrating vectors. The experiments show that the correction can reduce size distortions even in situations where regularity conditions for I(1) cointegration analysis are satisfied...

We test for and model nonlinearity of the reduced-form U.S. Phillips curve using the smooth transition regression (STR) framework. We find evidence of two regimes: a “high inflation regime†associated with fast rising food and energy prices and a “low inflation regimeâ€...

Many central bankers have made monetary policy decisions by focusing on core inflation data that exclude food and energy prices from overall inflation. In this paper, estimation results from multivariate GARCH models show that food prices not only help forecast future core inflation, but their...

The issue of an optimal licensing contract in firms having different cost structures is studied when the innovator is an insider who produces in the market and has three alternative licensing strategies: fixed fee, royalty, and auction. We only focus on the non-drastic innovation case, because...

We compare the accuracy of the survey forecasts and forecasts implied by economic binary options on the U.S. non-farm payroll change. For the first-release data both the market-based and survey forecasts are biased, while they are rational and approximately equally accurate for later releases....

In this paper, we investigate the information contents of S&P 500 VIX index and range-based volatilities by comparing their benefits on the GJR-based volatility forecasting performance. To reveal the statistical significance and ensure obtaining robust results, we employ Hansen's SPA test (2005)...

This paper explores the link between industry concentration, which is a feature of the product markets in which firms operate, and the risk of a firm's cash flows, offering the first empirical evidence of the risky cash-flow implications of industry market structure. Our analysis shows that on...