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The stochastic volatility in mean model: empirical evidence from internationa...
In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM... -
Testing of seasonal fractional integration in UK and Japanese consumption and...
The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally based tests proposed by Robinson (1994). These series were... -
Testing for a unit root in the volatility of asset returns (replication data)
It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is... -
Understanding spot and forward exchange rate regressions (replication data)
Using the Kalman filter, we obtain maximum likelihood estimates of a permanent-transitory components model for log spot and forward dollar prices of the pound, the franc, and...
