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Stylized facts of daily return series and the hidden Markov model (replicatio...
In two recent papers, Granger and Ding (1995a,b) considered long return series that are first differences of logarithmed price series or price indices. They established a set of... -
Incorporating monotonicity and concavity conditions in flexible functional fo...
Empirical economists using flexible functional forms often face the disturbing choice of drawing inferences from an approximation violating properties dictated by theory or... -
Cointegration tests of present value models with a time-varying discount fact...
The paper analyses the impact of persistence and volatility in the discount rate in present-value models on cointegration tests in levels and in logarithms. In simulations we... -
Separability test for the electricity supply industry (replication data)
This paper examines the vertical integration issue of the electricity industry. This industry is typically vertically integrated and heavily regulated. The paper investigates... -
Common Trends and Common Cycles (replication data)
The existence of a serial correlation common feature among the first differences of a set of I(1) variables implies the existence of a common cycle in the...