A model is introduced for the description of natural resources�price paths, which, in contrast to the existing literature, captures non-linear trends by means of a simple trigonometric function. This model is then compared by means of a set of model selection criteria with a quadratic trend...

This paper investigates the implications of time-varying betas in factor models for stock returns. It is shown that a single-factor model (SFMT) with autoregressive betas and homoscedastic errors (SFMT-AR) is capable of reproducing the most important stylized facts of stock returns. An empirical...

The purpose of this paper is twofold: first, to survey the statistical models of stock returns that have been suggested in the finance literature since the middle of the twentieth century; second, to examine under the prism of the contemporary philosophy of science, which of the aforementioned...

In this paper a Methodology for Integrated Socio-Economic Assessment (MISEA) of the viability and sustainability of different designs of Multi-Use Offshore Platforms (MUOPs) is presented. MUOPs are designed for multi-use of ocean space for energy extraction (wind power production and wave...

This paper evaluates the Morningstar mutual fund ranking system. We find that indeed higher Morningstar ratings are associated with higher returns on the portfolios including respectively five-, four-, three-, two- and one-star funds only (STAR5 to STAR1). We then perform an unconditional and...

This paper evaluates the Morningstar mutual fund ranking system. We find that indeed higher Morningstar ratings are associated with higher returns on the portfolios including respectively five-, four-, three-, two- and one-star funds only (STAR5 to STAR1). We then perform an unconditional and...

This article investigates the problem of testing for a unit root in the case that the error, {u_t}, of the model is a strictly stationary, mixing process with just barely infinite variance. Such errors have the property that for every &dgr; such that 0 = &dgr; 2, the moments E|u_t|-super-&dgr; are finite....

This paper focuses on first-order autoregressive models in which the noise variance increases without bound. Although this specification violates a standard assumption made in the relevant literature, namely that of bounded noise variance, it is proved that the well-known Eicker-White estimator...

In this paper we take issue with the applicability of the central limit theorem (CLT) on aggregate crop yields. We argue that even after correcting for the effects of spatial dependence, systemic heterogeneities and risk factors, aggregation does not necessarily lead to normality. We show that...

This paper investigates the performance of the OLS estimator in the context of a cointegrating system, which exhibits a single variance shift. It is shown that the limiting distribution of OLS and that of the associated t-statistic depend on the time, the size and the direction of the break.