We consider the standard linear regression model with all standard assumptions, except that the disturbances are not white noise, but distributed N(0,p2X(h)) where X(0)"I n . Our interest lies in testing linear restrictions using the usual F-statistic based on OLS residuals. We are not interested in "nding out whether h"0 or not. Instead we want to "nd out what the e!ect is of possibly nonzero ...

This paper deals with the problem of estimation and prediction in a compound Poisson ECOGARCH(1, 1) model. For this we construct a quasi maximum likelihood estimator under the assumption that all jumps of the log-price process are observable. Since these jumps occur at unequally spaced time points, it is clear that the estimator has to be computed for irregularly spaced data. Assuming normally ...

This paper presents a new approach for quantifying bank’s management quality, using a data envelopment analysis (DEA) model that combines multiple inputs and outputs to compute a scalar measure of efficiency. This measure will seek to capture a fundamental and crucial element of a bank’s success, which is its management efficiency. The results show that, on average, differences in management qu...

Empirical analysis of individual response behavior is sometimes limited due to the lack of explanatory variables at the individual level. In this paper we put forward a new approach to estimate the effects of covariates on individual response, where the covariates are unknown at the individual level but observed at some aggregated level. This situation may, for example, occur if the response va...

A continuous time econometric modelling framework for multivariate financial market event (or ‘transactions’) data is developed in which the model is specified via the vector conditional intensity. Generalised Hawkes models are introduced that incorporate inhibitory events and dependence between trading days. Novel omnibus specification tests based on a multivariate random time change theorem a...

Identifying the Common Component of International Economic Fluctuations: A New Approach In this paper, we develop an aggregation procedure using time-varying weights for constructing the common component of international economic fluctuations. The methodology for deriving time-varying weights is based on some stylized features of the data documented in the paper. The model allows for a unified ...

The title compound, Rb2O2·2NH3, has been obtained as a reaction product of rubidium metal dissolved in liquid ammonia and glucuronic acid. As a result of the low-temperature crystallization, a disolvate was formed. To our knowledge, only one other solvate of an alkali metal peroxide is known: Na2O2·8H2O has been reported by Grehl et al. [Acta Cryst. (1995), C51, 1038-1040]. We determined the pe...

We propose a new method to determine the cointegration rank in the error correction model of Engle and Granger (1987). To this end, we first estimate the cointegration vectors in terms of a residual-based principal component analysis. Then the cointegration rank, together with the lag order, is determined by a penalized goodness-of-fit measure. We have shown that the estimated cointegration vec...

Implied volatility indices are becoming increasingly popular as a measure of market uncertainty and as a vehicle for developing derivative instruments to hedge against unexpected changes in volatility. Although jumps are widely considered as a salient feature of volatility, their implications for volatility options and futures are not yet fully understood. This paper provides evidence indicatin...

We invent Implicit Marshallian Demands, a new type of demand function that combines desirable features of Hicksian and Marshallian demand functions. We propose and estimate the Exact Af ne Stone Index (EASI) Implicit Marshallian Demand system. Like the Almost Ideal Demand (AID) system, EASI budget shares are linear in parameters given real expenditures. However, unlike the AID, EASI demands can...