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...

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.

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....

In this article, we investigate the applicability of the central limit theorem (CLT) to aggregate crop yields. We argue that the aggregation of elementary crop yields is likely to produce nonnormal distributions if, contrary to the standard CLT case, the number of crop acres exhibits substantial...

This article is a survey of the main results on the central limit theorem (CLT) and its invariance principle (IP) for mixing sequences that have been obtained in the probabilistic literature in the last fifty years or so with a view towards econometric applications. Each of these theorems...

This paper aims at reconciling two apparently contradictory empirical regularities of financial returns, namely, the fact that the empirical distribution of returns tends to normality as the frequency of observation decreases (aggregational Gaussianity) combined with the fact that the...